Lecture 12: Time Series Analysis

MIT 18.642 Topics in Mathematics with Applications in Finance, Fall 2024 Instructor: Peter Kempthorne View the complete course: https://ocw.mit.edu/courses/18-642-to... YouTube Playlist:    • MIT 18.642 Topics in Mathematics with Appl...   This lecture provides an introduction to time series analysis, focusing on concepts such as stationarity, autocorrelation, and transformations like log returns to achieve stationarity in financial data. It also covers key models including autoregressive (AR), moving average (MA), and combined ARMA models, explaining their properties, estimation methods, and how differencing can handle non-stationary series. License: Creative Commons BY-NC-SA More information at https://ocw.mit.edu/terms More courses at https://ocw.mit.edu Support OCW at http://ow.ly/a1If50zVRlQ We encourage constructive comments and discussion on OCW’s YouTube and other social media channels. Personal attacks, hate speech, trolling, and inappropriate comments are not allowed and may be removed. More details at https://ocw.mit.edu/comments.