online classes

1. Financial Time Series using Matlab

• Free trial for Matlab (Video).  Learn some basic Matlab programming using AI (Video)

• How financial data speak for themselves (Video)

• Preliminary financial data analysis of center, spread, skewness, and shape (Video)

• Normality Checking (Video01 , Video02)

• Models for data with serial correlation ( Video01, Video02)

• Autocorrelation Function (ACF) and Partial Autocorrelation Function (PACF)

a. ACF plot for MA(1), MA(2), AR(1) and AR(2). (Video)

b. Why Covariance(Xs, Zt) = 0 if s<t? (Video)

c. Why MA(1) only have one significant spike in ACF?  (Video)

d. Why MA(2) only has two significant spikes in ACF? (Video)

e. Why AR(1) and AR(2) demonstrate tails of gradually in ACF? (Video01, Video02)

        MATERIAL: Matlab Code

2. Return and Volatility Analysis using Matlab

• Introduction

• ARMA-GARCH

• Forecasts

3. Extreme Value Theory using Matlab

4. Value-at-Risk  Analysis

• Introduction (Video1, Video2)

• Explanation using Historical Simulation Method (Video3)

• Explanation using GARCH Method using MATLAB

  • AR(1)-GARCH(1,1) Normal (Video4)

  • AR(1)-GARCH(1,1) Student-t (Video5)

• Extension in Expected Shortfall (ES).

  • Comparison between VaR and ES derivation under normality assumption (Video6)

  • ES under Student's t assumption (Video7)

  • Numerical examples (Video8).

5. High Frequency Financial Data Analysis