教學大綱 Syllabus

科目名稱：金融時間序列分析

Course Name: Financial Time Series Analysis
  • 學年學期：112-1 Fall Semester, 2023
  • 科目代碼：351733001 Course No.351733001

修別：選

Type of Credit: Elective

3.0

學分數

Credit(s)

20

預收人數

Number of Students

課程資料Course Details
  • 開課單位：國貿碩一、國貿碩二 Course Department:International Business/M/1&2
  • 授課老師：林信助 Instructor: LIN SHINN-JUH
  • 先修科目：無Prerequisite(N/A)
  • 上課時間：四234 Session: thu09-12

課程簡介Course Description

Financial markets create many time series for example stock prices and foreign currency exchange rates. How should we make use of these invaluable data for making investment decisions? In this course you'll learn advanced statistical techniques to handle financial time series data and to model the stochastic mechanism that generates the observed series.

核心能力分析圖 Core Competence Analysis Chart

能力項目說明

    課程目標與學習成效Course Objectives & Learning Outcomes

    Upon successful completion of this subject students should be able to:

    1. understand the theory and principles underlying a class of linear stochastic models, and appropriately apply time series techniques to financial problems;
    2. understand the theory and principles underlying a class of volatility models and appropriately apply modelling techniques to financial problems;
    3. formulate a testable hypothesis from a financial theory model;
    4. develop a range of statistical tools for empirical tests of these hypotheses;
    5. clearly communicate empirical applications and interpret results via written reporting;
    6. point to valuable experience in modelling financial time series, testing models and presenting succinctly the results of your analysis of a given problem.

    每周課程進度與作業要求 Course Schedule & Requirements

    教學週次Course Week 彈性補充教學週次Flexible Supplemental Instruction Week 彈性補充教學類別Flexible Supplemental Instruction Type

    週次Week

    課程主題Course Theme

    課程內容與指定閱讀Content and Reading Assignment

    教學活動與作業Activity and Homework

    		  
     

    1

    Orientation 

    Lecture Notes     

    教師講授及討論/ Assignment TBA 

     

    2

    Exploratory Data Analysis with R: Basics   

    Lecture Notes     

    教師講授及討論/ Assignment TBA

     

    3

    Exploratory Data Analysis with R: Basics   

    Lecture Notes     

    教師講授及討論/ Assignment TBA

     

    4

    Timeseries Data  

    Lecture Notes     

    教師講授及討論/ Assignment TBA

     

    5

    		 Timeseries Data

    Lecture Notes   

    		 教師講授及討論/ Assignment TBA

     

    6

    		 Return Calculation Lecture Notes

    教師講授及討論/ Assignment TBA

     

    7

    		 Return Properties Lecture Notes

    教師講授及討論/ Assignment TBA

     

    8

    		 SDE Solutions & Stability

    教科書第 1 章 

    教師講授及討論/ Assignment TBA

     

    9

    期中考 

    期中考不上課

    NA

     

    10

    Stationary & ARMA Models

    教科書第 2 章 

    教師講授及討論/ Assignment TBA

     

    11

    Stationary & ARMA Models

    教科書第 2 章 

    教師講授及討論/ Assignment TBA

     

    12

    Autocorrelation Functions

    		 教科書第 2 章 

    教師講授及討論/ Assignment TBA

     

    13

    Model Selection  

    教科書第 2 章 

    教師講授及討論/ Assignment TBA章

     

    14

    		 Model Selection

    教科書第 2 章 

    教師講授及討論/ Assignment TBA

     

    15

    Unit Roots and Unit Root Tests 

    教科書第 4章 

    教師講授及討論/ Assignment TBA

     

    16

    		 Unit Roots and Unit Root Tests 

    教科書第 4章 

    教師講授及討論/ Assignment TBA

     

    17

    GARCH Models   

    		 教科書第 3章 教師講授及討論/ Assignment TBA

     

    18

    GARCH Models   

    		教科書第 3章 教師講授及討論/ Assignment TBA

     

    授課方式Teaching Approach

    50%

    講述 Lecture

    10%

    討論 Discussion

    30%

    小組活動 Group activity

    10%

    數位學習 E-learning

    0%

    其他： Others:

    評量工具與策略、評分標準成效Evaluation Criteria

    1. Class Attendance and Participation----------------------- 20%.
    2. Assignment (bi-weekly)------------------------------------ 20%.
    3. Midterm-Exams--------------------------------------------- 30%.
    4. Final-Exams----------------------- -------------------------- 30%.
      Total 100% .

    請注意：除因重大災害或緊急傷病等不可抗力之因素（需事後提出正式證明）外，其餘因素（如家庭旅遊，忘記時間及睡過頭等）所造成之考試缺考將不給予補救措施。隔天就醫以及診斷證明陳述不明確者（如：根據患者自述云云），也將不給予補救措施。

    指定/參考書目Textbook & References

    指定用書:

    Applied Econometric Time Series 2nd eds. by Walter Enders JOHN WILEY & SONS INC. 2003 ISBN 0-471-45173-8

     

    參考書籍:

    Analysis of Financial Time Series by Ruey S. Tsay Wiley Inter-Science 2002. (新月)

    Time Series Applications to Finance by N. H. Chan Wiley 2002 ISBN 0-471-41117-5.

    蔡佳泓，2015， 基礎統計分析:R程式在社會科學之應用 第一版 ，ISBN：9789865668105，書號：00107022.（雙葉書廊）

    何宗武，2014，追蹤資料分析：原理與R程式實務 第一版 2014年，ISBN：9789866018879，書號：00106979.（雙葉書廊）

    A good textbooks in Econometrics is "Introductory Econometrics" by Jeffrey M. Wooldridge. 

    Even better, there is a very nice resource for those wanting to use R in their introductory Econometrics courses: www.urfie.net

    From which, you can read the book online and download all the associated resources.

    已申請之圖書館指定參考書目 圖書館指定參考書查詢 |相關處理要點

    書名 Book Title 作者 Author 出版年 Publish Year 出版者 Publisher ISBN 館藏來源* 備註 Note

    維護智慧財產權，務必使用正版書籍。 Respect Copyright.

    課程相關連結Course Related Links

    http://wm5.nccu.edu.tw/

    課程附件Course Attachments

    課程進行中，使用智慧型手機、平板等隨身設備 To Use Smart Devices During the Class

    需經教師同意始得使用 Approval

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