Introduction to the Analysis of Financial Data (365-0-20)

Instructors

Thomas A Severini
847.467.1254
2006 Sheridan Road/Room 305/Department of Statistics

Meeting Info

Technological Institute L361: Tues, Thurs 12:30PM - 1:50PM

Overview of class

The goal of this course is to present an introduction to the use of statistical methods in finance. The topics to be covered include models for returns, portfolio theory, the capital asset pricing model, and the market model. The emphasis will be on understanding the basic methods of finance and using these methods to guide the statistical analysis of financial data.

Registration Requirements

Math 240 and Statistics 320-3 (or the equivalent).

Learning Objectives

1. Understand the nature and properties of return data used in finance 2. Develop and interpret statistical models for financial data 3. Understand the role of statistical concepts in evaluating assets 4. Use mathematical and statistical techniques to construct optimal portfolios 5. Use statistical software to analyze financial data, estimate parameters of return distributions, and to draw appropriate conclusions

Teaching Method

Lectures

Evaluation Method

Grades will be based on homework assignments, an exam, and a final project.

Class Materials (Required)

Introduction to Statistical Methods for Financial Models by T. A. Severini. CRC Press. ISBN:
ISBN 978-0-367-65787-1 Price: $52.69 (Amazon)

Class Attributes

Formal Studies Distro Area

Enrollment Requirements

Enrollment Requirements: Prerequisites: STAT 320-3 and MATH 240-0 or MATH 285-1 or MATH 281-3 or MATH 290-1or MATH 291-1 or GEN_ENG 205-1 or GEN_ENG 206-1