Institute of Information Theory and Automation

Quantitative Finance I

Lecturer: Mgr. Lukáš Vácha, Ph.D., Doc. PhDr. Jozef Baruník, Ph.D.
Faculty: Fakulta sociálních věd UK
Type of course: magisterský
Department: E
Semester: zimní
Active: yes


The objective of the course is to introduce advanced time series methods. Students will be able to use the modern financial econometric tools after passing this course and will be prepared to continue in the Quantitative Finance II course. Part of the course is also focused on the high-frequency data econometrics.

Basic structure of the course: 

  • Introduction to Financial Time Series (Assets, Prices, Random Walk, Moving average Models)
  • Predictability of Asset Returns - Definitions, Testing Random Walk, Unit Root
  • Linear Models of Financial Time Series - Moving Average Models, AR, ARMA, ARIMA.
  • Introduction to Nonlinearities in Financial Data Modelling Volatility I, II.
  • Long memory in volatility.
  • High-frequency financial models - Microstructure noise, Simulation of continuous-time processes, Realized Measures.

Responsible for information: E
Last modification: 08.02.2018
Institute of Information Theory and Automation