Statistics
Archived page from the Certificate in Quantitative Investment (CQI) section of the original site. For current information see en.cqi.sg.
Course Description
Statistics…
Course Outline
| Session | Topics | Readings | Homeworks |
| 1 | Basic statistics, distributions, hypothesis testing, maximum likelihood | Lecturer handout | hw1 |
| 2 | Linear regression | Lecturer handout | hw2 |
| 3 | Univariate time series analysis, white noise, AR, MA, ARMA, ARIMA, and GARCH | Lecturer handout | hw3 |
| 4 | Kalman filter, dynamic system model | Lecturer handout | hw4 |
| 5 | Multivariate time series and cointegration | Lecturer handout | hw5 |
| 6 | Longitudinal data analysis | Lecturer handout | hw6 |
| 7 | Measures (real analysis) and probability | Lecturer handout | hw7 |
| 8 | Brownian motion calculus, Ito’s lemma | Lecturer handout | hw8 |
| 9 | Calculus for martingales and semi-martingales | Lecturer handout | hw9 |
| 10 | Extreme value theory | Lecturer handout | hw10 |
| 11 | Markov chain | Lecturer handout | hw11 |
| 12 | Bootstrapping | Lecturer handout | hw12 |
Recommended Readings
- All of Statistics: A Concise Course in Statistical Inference, Larry Wasserman
- All of Nonparametric Statistics, Larry Wasserman
- Statistical Analysis of Financial Data in S-Plus, René Carmona
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, Søren Johansen
- Introduction To Stochastic Calculus With Applications (3rd Edition), Fima C. Klebaner
- Financial Calculus: An Introduction to Derivative Pricing, Martin Baxter, Andrew Rennie