1. Financial Time Series CS3

2. Financial Time Series

4. Outline Discrete Time Series Analysis Continuous Time Series Analysis

5. Discrete Time Series Analysis

6. Comes from the same distribution

7. Auto-regressive model ~

8. Moving Average Model Weighted Average of Shocks Why? MA(1)

9. ARMA Combination of AR and MA

10. Learning the Parameters Easy !!! just apply normal regression analysis techniques However, there are sophisticated method like Partial Auto-correlation (PACF).

11. Non-stationary / Diverge US GDP

12. A Simple Technique to convert to Stationary Model c as ARMA(p,q)

13. Heteroscedasticity Robert Engle

14. Continuous Time Series Analysis

15. Why? Interest rate Prices for options, shares and bonds changes continuously

16. Modeling Continuous Time Series W 0 = 0 W t is almost surely continuous

17. Continuous Time Series with Jump

18. Simple Levy Process /

19. An example to estimate parameters is interest rate