This course is classified in the area of quantitative methods.
The student leran about the basic concepts on the analysis of financial time series. Also, basic models to represent and forecast the evolution of these series are described. Instruments useful for theoretical financial models are also considered.
The first part of the course deals with basic concepts in the analysis of time series which are basic for the analysis of financial data. In particular, the students learn about the difference between independence and uncorrelatedness, white noise and martingale difference. In the second part of the course, the basic models to represent the evolution of the conditional mean of time series are described. Finally, the last part of the course deals with models to represent the evolution of volatilities which are central to many financial models.