Прогнозирование на финансовых рынках

2024/2025

Статус: Маго-лего

Кто читает: Банковский институт

Когда читается: 3 модуль

Онлайн-часы: 20

Охват аудитории: для своего кампуса

Язык: русский

Кредиты: 6

Полная версия программы учебной дисциплины Задать вопрос

Аннотация

The course is an introduction to main forecasting techniques used in economics and finance. It covers topics ranging from data collection and preparation to econometrics, general equilibrium and machine learning models used in forecasting. This course is mostly practical, not theoretical, so a significant amount of time will be devoted to application of the models discussed to real data.

Цель освоения дисциплины

The main aim of the course is to provide the students with understanding of how the forecasting is usually conducted. It includes both the ability to use and evaluate external forecasts and the ability to make forecasts themselves.
Students should be able to find the data they need, choose the model suitable to a certain problem, evaluate the forecasting performance of the model and interpret the results obtained. Apart from that, application of forecasting to decision-making process will be discussed.

Планируемые результаты обучения

• Understand forecasting and how it differs from explanation • Understand outlier detection and missing value imputation techniques • Understand the primary seasonal adjustment techniques
• Know the main univariate forecasting models
• Know the main multivariate forecasting models
• Know the main forecast accuracy measures • Be able to cross-validate the model
• Understand the problem and main techniques of nowcasting • Be familiar with main methods of working with mixed-frequency data
• Be familiar with Bayesian and machine learning approaches