MX5020: Time Series - Catalogue of Courses

MX5020: TIME SERIES (2020-2021)

Last modified: 13 Aug 2020 12:35

Course Overview

This course is a part of the MSc programme in Financial Mathematics. It is concerned with the analysis of time series and basic statistical tools related to finance.

Course Details

Study Type	Postgraduate	Level	5
Term	Second Term	Credit Points	15 credits (7.5 ECTS credits)
Campus	Aberdeen	Sustained Study	No
Co-ordinators	Professor Jaroslaw J. Kedra

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

Any Postgraduate Programme

What other courses must be taken with this course?

None.

What courses cannot be taken with this course?

MX5520 Time Series (Studied)

Are there a limited number of places available?

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 21st September 2026 for Term 1 and Full Year courses and 8th January 2027 for Term 2 courses.

Summative Assessments

Two homework projects:

Asessment 1 (40%)

Asessment 2 (60%)

Formative Assessment

There are no assessments for this course.

Course Learning Outcomes

Knowledge Level	Thinking Skill	Outcome
Factual	Remember	Not Available

51cg