R help - Aug 2005 - Modelling Financial Time Series with S-PLUS - Adv. Course 20th Sept '05

Insightful are now taking bookings for the Advanced Time Series Modelling
course to be held at Carlton Terrace in London SW1 on  20th September. 

 

Advanced workshop 

Extract for Financial Time Series Modelling : The Advanced Time Series Course
focuses on the most up to date theory and its application around the
following topics (note that not all topics will be covered during the
workshop)

1.      The Econometrics of transaction level data 

o        Autoregressive Conditional Duration Models 

o        Measuring liquidity and market pressure 

o        Assessing predictability in tick by tick data- market depth and
liquidity 

2.      Extracting the Implied Probability Distributions from Option Prices 

o        Can options help predict the future spot market? 

3.      The Use of State Space models in Finance 

o        Measure herding and market sentiment 

4.      Factor Models of Asset Returns 

o        Statistical and Economic Factors 

5.      GMM and EMM Estimation methods in SPLUS 

o        Continuous time models in Finance 

o        Estimating Stochastic Volatility Models 

6.      Copula Methods in Finance 

o        Basic Copula testing and estimation 

o        Measuring joint risks 

o        Pricing Basket options 

Tutor: Mark Salmon, Professor of Finance, Warwick University

 

Mark Salmon has many years' experience teaching and research in Financial
econometrics; behavioural finance; asset pricing; knightian uncertainty; risk
management and asset management. Formerly Deutsche Morgan Grenfell Professor
of Financial Markets, Cass Business School, London, Mark is also an advisor
to the Bank of England and has many links with City Institutions. 

 

For full course details please go to: 

 

<http://www.insightful.com/services/training/timeseries_UK05.asp> 

 

To Register:

 

<http://www.insightful.com/uk/services/register_uk.asp> 

 

 

If you need any further information please do not hesitate to contact me.

 

Regards

 

Kathy Kiely,

 

 

 

Kathy Kiely

Sales & Marketing Assistant

Insightful Limited

Network House, Basing View Basingstoke, Hampshire, RG21 4HG

Tel  : 01256 339822

Fax : 01256 339839

e mail : kkiely@insightful.com 

 

======================
 

Beyond Excel(r): Quantitative Data Analysis with Insightful 


Date: Wednesday, August 31st at  4:00 PM  BST 

Speakers: Will Alexander, Wachovia Securities & David Smith, Insightful
Corporation


http://www.insightful.com/news_events/webcasts/2005/08excel/default.asp

 

 

 

 

 

 

 

 

 

 




 


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