[R] Modelling Financial Time Series with S-PLUS - Adv. Course 20th Sept '05

From: Kathy Kiely <kkiely_at_insightful.com>
Date: Fri 26 Aug 2005 - 21:47:50 EST

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:  


To Register:  


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


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


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