ClassInfo

CSC 425 Time Series Analysis and Forecasting

Raffaella Settimi-Woods

Office: CDM 904
Fall 2016-2017
Class number: 33312
Section number: 701
Tu 5:45PM - 9:00PM
CDM 00218 Loop Campus
Course homepage: https://d2l.depaul.edu

Summary

The course presents statistical methods for time series analysis and forecasting with a focus on applications to financial data analysis. The course will place great emphasis on applications. The course topics include linear time series analysis, stationarity and autocorrelation functions, autoregressive and moving average models, and their generalizations, conditional heteroschedastic (ARCH/GARCH) models to describe markets volatility. Alternative models for financial markets volatility will be discussed. If time permits, we'll discuss non-linear models, and non-parametric tests to address non-linearity problems in financial time series.
Time series analysis and modeling techniques will be applied using the statistical package R.

More detailed course information is posted at the course homepage at https://d2l.depaul.edu



Texts

New required textbook is "Time Series Analysis with Applications in R" by Jonathan Cryer and Kung-Sik Chan. Publisher: Springer; 2nd edition, 2010, ISBN-10: 0387759581

Other acceptable textbooks include "An Introduction to Analysis of Financial Data with R" by Ruey Tsay, Publisher: Wiley, October 29, 2012, ISBN-10: 0470890819.
or the the more comprehensive book from the same author titled "Analysis of Financial Time Series, 3rd ed., by Ruey S. Tsay. John Wiley & Sons (2010), ISBN: 0-470-414359.

Introductory notes on R will be posted on the course website.



Grading

The course grade has the following components:

  • Homework and Programming assignments (45%). There will be four or five assignments. Assignments will be posted on Tuesday and be due a week later on Thursday at midnight. Assignments will not be accepted later than three days from the due date. Notice that a 25% point penalty will be applied for late submissions. Extensions may only be granted for exceptional reasons, and must be requested BY EMAIL before the due date.
  • Group project (25%) due at the end of the quarter. Details will be provided later in class.
  • Exam (30%) in week 6. Online students will be provided specific instructions on how to take the exam.

Students receiving more than 90% of possible points are guaranteed at least an A-, more than 80% at least a B-, more than 70% at least a C-, and more than 60% at least a D.



Prerequisites

CSC423 or consent of instructor.



School policies:

Changes to Syllabus

This syllabus is subject to change as necessary during the quarter. If a change occurs, it will be thoroughly addressed during class, posted under Announcements in D2L and sent via email.

Online Course Evaluations

Evaluations are a way for students to provide valuable feedback regarding their instructor and the course. Detailed feedback will enable the instructor to continuously tailor teaching methods and course content to meet the learning goals of the course and the academic needs of the students. They are a requirement of the course and are key to continue to provide you with the highest quality of teaching. The evaluations are anonymous; the instructor and administration do not track who entered what responses. A program is used to check if the student completed the evaluations, but the evaluation is completely separate from the student’s identity. Since 100% participation is our goal, students are sent periodic reminders over three weeks. Students do not receive reminders once they complete the evaluation. Students complete the evaluation online in CampusConnect.

Academic Integrity and Plagiarism

This course will be subject to the university's academic integrity policy. More information can be found at http://academicintegrity.depaul.edu/ If you have any questions be sure to consult with your professor.

All students are expected to abide by the University's Academic Integrity Policy which prohibits cheating and other misconduct in student coursework. Publicly sharing or posting online any prior or current materials from this course (including exam questions or answers), is considered to be providing unauthorized assistance prohibited by the policy. Both students who share/post and students who access or use such materials are considered to be cheating under the Policy and will be subject to sanctions for violations of Academic Integrity.

Academic Policies

All students are required to manage their class schedules each term in accordance with the deadlines for enrolling and withdrawing as indicated in the University Academic Calendar. Information on enrollment, withdrawal, grading and incompletes can be found at http://www.cdm.depaul.edu/Current%20Students/Pages/PoliciesandProcedures.aspx.

Students with Disabilities

Students who feel they may need an accommodation based on the impact of a disability should contact the instructor privately to discuss their specific needs. All discussions will remain confidential.
To ensure that you receive the most appropriate accommodation based on your needs, contact the instructor as early as possible in the quarter (preferably within the first week of class), and make sure that you have contacted the Center for Students with Disabilities (CSD) at:
Lewis Center 1420, 25 East Jackson Blvd.
Phone number: (312)362-8002
Fax: (312)362-6544
TTY: (773)325.7296