Skip to main content

Time Series Analysis and Forecasting
Enrollment in this course is by invitation only

This is a 12 week course in Time Series Analysis for individuals with background in Linear Algebra, Calculus, Statistics and Probability. The course will introduce concepts like autocorrelation, stationarity, cointegration and more. The course will use time series concepts for developing sophisticated predictive models for financial markets. This course will use R for all programming assignments.
Enrollment in this course is by invitation only

Course Contents

  • Stationarity
  • ARMA, ARIMA and GARCH models
  • Introduction to Spectrum
  • GMM
  • Introduction to VARs
  • Factor Models
  • Empirical Processes
  • Unit Roots
  • Cointegration
  • Filtering, State Space Models
  • Kalman Filter

Course Objectives

At the completion of the course, students will be able to do the following:

  • Understand Stationary and non Stationary processes
  • Check data for autocorrelation with different lagged parameters
  • Find cointegrated pairs or baskets
  • Apply Time Series concepts to build predictive models

Prior experience with R, strong background in Statistics and Probability

Text Book

Time Series Analysis by James D Hamilton

Course Staff

Course Staff Image #1
Yuri Balasanov

Yuri Balasanov is a faculty member at the University of Chicago since 1997. He teaches at Graduate Program on Financial Mathematics (MSFM) and Graduate Program on Analytics (MScA). He is also founder and President of Research Software International, Inc. since 1991 and iLykei Teaching Tech Corp since 2015. Dr. Balasanov earned his Master’s degree in Applied Mathematics and Ph. D. in Probability Theory and Mathematical Statistics from The Lomonosov Moscow State University, Russia, where he studied under Andrey Kolmogorov and leading members of his school. His primary expertise and research interests are in the area of stochastic modeling and advanced data analysis with applications in various fields including trading, risk management, finance and economics, business analytics, marketing, biology, medical studies. Dr. Balasanov has been a financial industry practitioner for more than 20 years, working at leading financial institutions as head quant, quantitative trader and risk manager.

Effort Required

6-8 Hours per week

Enrollment in this course is by invitation only