STATS 239B: Workshop in Quantitative Finance (CME 239B)
Topics of current interest. May be repeated for credit.
Terms: not given this year

Units: 1

Repeatable for credit

Grading: Satisfactory/No Credit
STATS 240: Statistical Methods in Finance
(SCPD students register for 240P.) Regression analysis and applications to investment models. Principal components and multivariate analysis. Likelihood inference and Bayesian methods. Financial time series. Estimation and modeling of volatilities. Statistical methods for portfolio management. Prerequisite:
STATS 200 or equivalent.
Terms: Aut

Units: 34

Grading: Letter or Credit/No Credit
Instructors:
Lai, T. (PI)
STATS 240P: Statistical Methods in Finance
For SCPD students; see 240.
Terms: Aut

Units: 3

Grading: Letter or Credit/No Credit
Instructors:
Lai, T. (PI)
STATS 241: Datadriven financial and risk econometrics
(SCPD students register for 241P) Substantive and empirical modeling approaches in options, interest rate, and credit markets. Nonlinear least squares, logistic regression and generalized linear models. Nonparametric regression and model selection. Multivariate time series modeling and forecasting. Vector autoregressive models and cointegration. Risk measures, models and analytics. Prerequisite or corequisite:
STATS 240 or equivalent.
Terms: alternate years, not given next year

Units: 34

Grading: Letter or Credit/No Credit
STATS 241P: Datadriven financial and risk econometrics
For SCPD students; see
STATS241.
Terms: alternate years, not given next year

Units: 3

Grading: Letter or Credit/No Credit
STATS 242: Algorithmic Trading and Quantitative Strategies
An introduction to financial trading strategies based on methods of statistical arbitrage that can be automated. Methodologies related to high frequency data and stylized facts on asset returns; models of order book dynamics and order placement, dynamic trade planning with feedback; momentum strategies, pairs trading. Emphasis on developing and implementing models that reflect the market and behavioral patterns. Prerequisite:
STATS 240 or equivalent.
Terms: Sum

Units: 3

Grading: Letter or Credit/No Credit
Instructors:
Velu, R. (PI)
STATS 244: Quantitative Trading: Algorithms, Data, and Optimization
Statistical trading rules and performances evaluation. Active portfolio management and dynamic investment strategies. Data analytics and models of transactions data. Limit order book dynamics in electronic exchanges. Algorithmic trading, informatics, and optimal execution. Market making and inventory control. Risk management and regulatory issues. Prerequisites:
STATS 240 or equivalent.
Terms: Win

Units: 24

Grading: Letter or Credit/No Credit
Instructors:
Lai, T. (PI)
STATS 253: Analysis of Spatial and Temporal Data
A unified treatment of methods for spatial data, time series, and other correlated data from the perspective of regression with correlated errors. Two main paradigms for dealing with autocorrelation: covariance modeling (kriging) and autoregressive processes. Bayesian methods. Prerequisites: applied linear algebra (
MATH 103 or equivalent), statistical estimation (
STATS 200 or
CS 229), and linear regression (
STATS 203 or equivalent).
Terms: Sum

Units: 3

Grading: Letter or Credit/No Credit
Instructors:
Sun, D. (PI)
STATS 260A: Workshop in Biostatistics (HRP 260A)
Applications of statistical techniques to current problems in medical science. To receive credit for one or two units, a student must attend every workshop. To receive two units, in addition to attending every workshop, the student is required to write an acceptable one page summary of two of the workshops, with choices made by the student.
Terms: Aut

Units: 12

Repeatable for credit

Grading: Medical Satisfactory/No Credit
Instructors:
Olshen, R. (PI)
;
Sabatti, C. (PI)
STATS 260B: Workshop in Biostatistics (HRP 260B)
Applications of statistical techniques to current problems in medical science. To receive credit for one or two units, a student must attend every workshop. To receive two units, in addition to attending every workshop, the student is required to write an acceptable one page summary of two of the workshops, with choices made by the student.
Terms: Win

Units: 12

Repeatable for credit

Grading: Medical Satisfactory/No Credit
Instructors:
Olshen, R. (PI)
;
Sabatti, C. (PI)
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