发帖
雷达卡
1. 资源名称：Time Series Applications to Finance
2. 作者：Ngai Hang Chan
3. 资源类别：英文教材
4. 总页数：225
5. 前言：
This textbook evolved in conjunction with teaching a course in time series analysis at Carnegie Mellon University and the Chinese University of Hong Kong. For the past several years, I have been involved in developing and teaching the financial time series analysis course for the Masters of Science in Computational Finance Program at Carnegie Mellon University. There are two unique features of this program that differ from those of a traditional statistics curriculum. First, students in the program have diversified backgrounds. Many of them have worked in the finance world in the past, and some have had extensive trading experiences. On the other hand, a substantial number of these stu-
dents have already completed their Ph.D. degrees in theoretical disciplines such as pure mathematics or theoretical physics. The common denominator between these two groups of students is that they all want to analyze data the way a statistician does.
Second, the course is designed to be fast paced and concise. Only six weeks of three-hour lectures are devoted to covering the first nine chapters of the text. After completing the course, students are expected to have acquired a working knowledge of modern time series techniques. Given these features, offering a full-blown theoretical treatment would be neither appropriate nor feasible. On the other hand, offering cookbook-style instruction would never fulfill the intellectual curiosity of these students. They want to attain an intellectual level beyond that required for routine analysis of time series data. Ultimately, these students have to acquire the knack of knowing the conceptual underpinnings of time series modeling in order to get a better understanding of the ever-changing dynamics of the financial world. Consequently, finding an appropriate text which meets these requirements
becomes a very challenging task. As a result, a set of lecture notes that balances theory and applications, particularly within the financial domain, has been developed. The current text is the consequence of several iterations of these lecture notes. In developing the book a number of features have been emphasized.
.......
京公网安备 11010802022788号
