2015-
- MFE elective, Forecasting and Financial Time Series, Part I: High-Frequency Forecasting
- Extra Q&A session on Tuesday 23 May 12:30-13:30 in SBS Lecture Theatre 5. (Not compulsory.)
- Lecture starts at 9am (instead of 8.30am) from Tuesday 9 May 2017.
- Course outline.
- Assignment (due at noon on 26 May 2017).
- Reading list.
- Lecture slides 01, my personal in-class notes 01, and Matlab 01 with a template m-file for volume figures. (Note: For Matlab versions later than R2012b, "tsmovavg" instead of "smooth" for simple rolling average.)
- Lecture slides 02, my personal in-class notes 02, and Matlab 02 with an Appendix on cubic spline.
- Lecture slides 04, my personal in-class notes 04, and Matlab 04.
- Lecture slides 05, my personal in-class notes 05, and Matlab 05.
- Lecture slides 03, my personal in-class notes 03, and Matlab 03.
My additional memo on deriving Kalman-Filter. (A general case. Set n = 1, X(t) = Identity matrix, beta(t) = m(t) etc to get our in-class case.)
A classic textbook on Kalman-Filter in economics:
Harvey A. C. (1989) Forecasting, Structural Time Series Models and the Kalman Filter, Cambridge University Press.
- Lecture slides 06.
- Free MATLAB download is available via Oxford U. Aside: In London finance, Python and C++ are commonly used. Useful downloads:
- Anaconda (free and runs iPython, makes importing modules easy)
- PyCharm (community version is free, can create loads of shortcut keys to improve productivity (e.g. line by line execusion, clearing everything))
- Visual Studio (community version is free, makes loads of useful suggestions).
My Python files replicating mean reversion strategies discussed in Ernie Chan's Algorithmic Trading book (data from yahoo finance - please ignore the data quality issue):
- Python_02.zip
- Python_03.zip (Kalman Filter estimation results come out a bit different from the book somehow. I'll check again later.)
2014-2015
- MPhil computer package lesson: getting started with Stata (and Eviews)
(Wage data is from Part IIA Paper 3 teaching material, and Dow data is from Yahoo finance.)
- MPhil computer package lesson: getting started with Eviews
(Wage data is from Part IIA Paper 3 teaching material, and Dow data is from Yahoo finance.)
- M300 Class material
- MPhil Thesis and Plagiarism
- Tuesday 21 October 2014 at 4pm-5pm in Little Hall
- Slides
- MPhil/Diploma survival talk ("Unofficial Guide to MPhil/Diploma")
- Monday 12 October 2014 at 1pm-2pm in Lecture Block room 6
- This talk is for all MPhil and Diploma students. Focus is on the coursework component.
- Slides
- PhD survival talk ("Unofficial Guide to PhD")
- Monday 6 October 2014 at 3pm-4pm in Keynes Room.
- This talk is for first-year PhD students. Focus is on the research component.
- Slides.
- MPhil Maths Prep, Linear Algebra lectures
2013-2014
- MPhil computer package lecture on STATA
- MPhil computer package lecture on Eviews
(Wage data is from Part IIA Paper 3 teaching material, and Dow data is from Yahoo finance.)
- MPhil lecture on "MPhil Thesis and Plagiarism"
- Tuesday 4 February 2014 at 1pm-2pm in LB room 6
- Slides.
- MPhil survival talk ("Unofficial Guide to MPhil")
- Thursday 17 October 2013 at 10am-11am in LB room 1.
- This talk is for all MPhil, Diploma, and first-year PhD students.
- Slides.
- PhD survival talk ("Unofficial Guide to PhD")
- Friday 18 October 2013 at 1pm-2pm in Keynes Room.
- This talk is for first-year PhD students.
- Focus is on the research component.
- Slides here.
- Further travel grants information and survey results
- PhD course, Mathematical Analysis for Economists
- College travel grants, information summary for all 31 colleges (last updated on 29 May 2013).