Aims：This course aims to provide a comprehensive and systematic introduction to financial time series models and their applications to modelling and prediction of financial time series data.Learning objectives：

At the end of the course students should:

• Know the basic characteristics of financial data, understand the application of financial time series models, and gain the experience in analysing financial time series.
• Have a reasonable ability to derive theoretical results relating to some important financial time series models.
• Have a reasonable ability to fit time series models to financial time series data, and carry out related predictions using appropriate computer software.
• Have a reasonable ability to use residual plots and other techniques to assess the goodness of fit of a time series model to a financial time series.
• Have a reasonable ability to choose between alternative time series models for sets of financial time series data.
  

Syllabus：

Returns & their characteristics; Simple linear time series models & their applications; Univariate volatility modeling & its implications; High-frequency financial data and market micro-structure.