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  5. Mathematical Sciences
  6. MX5520: Time Series

MX5520: TIME SERIES (2017-2018)

Last modified: 27 Feb 2018 17:01


Course Overview

​There is an interest in raising the level of understanding of mathematics in the financial sector. This course is a part of the new MSc programme in Financial Mathematics and provides students with the theoretical and practical skills related to discrete time models of financial markets.

Course Details

Study Type Postgraduate Level 5
Term Second Term Credit Points 15 credits (7.5 ECTS credits)
Campus Old Aberdeen Sustained Study No
Co-ordinators
  • Dr Daniel Vogel

Qualification Prerequisites

None.

What courses & programmes must have been taken before this course?

  • Any Postgraduate Programme (Studied)

What other courses must be taken with this course?

None.

What courses cannot be taken with this course?

None.

Are there a limited number of places available?

No

Course Description

​The course will introduce the mathematical notions of time series analysis. The following topics will be included: random walk, white noise, auto-covariance and autocorrelation functions, linear prediction, stationary and nonstationary time series, filtering, nonlinear models.

Contact Teaching Time

Information on contact teaching time is available from the course guide.

Teaching Breakdown

More Information about Week Numbers


Details, including assessments, may be subject to change until 30 August 2024 for 1st term courses and 20 December 2024 for 2nd term courses.

Summative Assessments

One 2h written exam (70%); One individual assignment (30%)


Resit -

​One 2h written exam (100%).

Formative Assessment

There are no assessments for this course.

Feedback

None.

Course Learning Outcomes

None.
 

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