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Data Visualization and the Analysis of Financial Time Series


Center for Computational Finance and Economic Systems
Cosponsor: Rice University
Cosponsor: Statistics

By: Two Day Short Course
When: Monday, July 18, 2011 - Tuesday, July 19, 2011
8:00 AM - 4:30 PM
Where: Duncan Hall
Abstract: Data Visualization and the Analysis of Financial Time Series
Two-Day Summer Short Course, Monday July 18, 2011 and Tuesday July 19, 2011

The two-day short course partners the data visualization mini course of Dr. Hadley Wickham with the quantitative risk management course of Dr. Katherine Ensor. The hands on interactive courses are designed for practitioners and academics wanting to improve their knowledge in graphical displays of data and the analysis of financial time series for asset valuation and risk management. It is assumed that participants will have elementary knowledge of statistics and feel comfortable with the R programming language. The experienced instructors are recognized for their engaging and organized delivery of critical course content.

Schedule: 8:00 Continental Breakfast
8:30 to 12:00 – Sessions I and II, with break
12:00 to 1:00 – lunch (provided)
1:00 to 4:30 - Sessions III and IV, with break

Location: Duncan Hall, Room 1064; Rice University

DAY 1: Monday, July 18, 2011

Data Vis Mini Course

COURSE OBJECTIVES: The course will focus on the visualization of data for purposes of information communication and inference. Participants will be introduced to Dr. Wickham’s visualization package, ggplot2, learning how to create informative graphs addressing issues related to graphs for large data sets. Participations will also learn key strategies for manipulating and transforming data as well as how to polish plots for maximum presentation impact.

Dr. Hadley Wickham is an Assistant Professor of Statistics at Rice University. Dr. Wickham holds the Dobelman Family Chair of Statistics, and won the John Chambers Award for statistical computing in 2006 for his graphics work in association with ggplot2, and is author of the book “ggplot: using the grammar of graphics with R” (2009 – Springer). Dr. Wickham joined Rice University after completing his doctoral studies at Iowa State University in 2008. He has presented his short course at universities, the World Health Organization and corporate sponsors such as Google and Ebay.

DAY 2: Tuesday, July 19, 2011

Quantitative Risk Management and the Analysis of Financial Time Series

COURSE OBJECTIVES: The course will expose attendees to the methodology and practice of asset valuation over time by focusing on modern methods from financial time series that address a dynamic and changing market structure. The course is divided into 4 main sections: basics of time series analysis and forecasting, volatility models, multivariate time series and the analysis of time series of tail events. Each section will be motivated by case studies and will include a basic review of the methodology, critical assumptions and relevant R tools. Case studies will come from a range of financial studies and will be designed to answer pertinent quantitative risk management questions. Throughout the course discussion of statistical assumptions, both verification and impact will be addressed.

Katherine B. Ensor is professor and chair of the Department of Statistics and director of the Center for Computational Finance at Rice University. She joined the faculty at Rice University after receiving her Ph.D. from Texas A&M University in 1987. Her research addresses the development and application of methods for the analysis of dependent data focusing on multivariate times series, spatial and stochastic processes. Her key areas of application in quantitative risk management include finance and the environment. For the past decade she has led the development of Rice’s innovative engineering based curriculum in statistical finance. Her former students hold significant positions in the finance/energy sector. Dr. Ensor is a Fellow of the American Statistical Association and has been recognized for her excellence in research, education, leadership and mentoring.

To register, please go to the following link: Two-Day Summer Course Registration