MTH5540 Statistical learning in finance
Faculty of Science
MTH5540 Statistical learning in finance is a level 5, 6-credit-point, postgraduate unit from the Faculty of Science, offered in 2020 in Semester 1 at Clayton. It has no prerequisites.
- Credit points
- 6
- Offered in 2020
- Semester 1
- Clayton
This is the 2020 handbook entry. See the 2027 entry.
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Requisites
Before MTH5540
No prerequisites or corequisites besides the enrolment rules below.
After MTH5540
No unit lists MTH5540 as a prerequisite in the 2020 handbook.
Enrolment rules
COREQUISITE: Only students enrolled in the Master of Financial Mathematics can enrol in this unit. Exceptions can be made with permission from the unit co-ordinator.
Overview
Bayesian inference. Linear Gaussian models. Kalman filter. Maximum likelihood. Fischer information. Cramer-Rao bound. Supervised classification. Tree based methods. Support vector machines. Introduction to R.
Offerings in 2020
| Teaching period | Campus | Mode |
|---|---|---|
| First semester | Clayton | On campus |
| First semester (Fully flex) | Clayton | Flexible |
Learning outcomes
When you finish this unit, you should be able to:
- 1
Develop specialised statistical knowledge and skills within the field of statistical learning.
- 2
Understand the complex connections between specialised financial and mathematical concepts.
- 3
Apply critical thinking to problems in statistical learning that relate to financial models.
- 4
Apply estimation and calibration solving skills within the finance context.
- 5
Formulate expert solutions to practical financial problems using specialised cognitive and technical skills within the fields of statistical learning.
- 6
Communicate complex information in an accessible format to a non-mathematical audience.
Workload and teaching
Two 1.5-hour lectures and one 1-hour applied class per week
Contacts
- Chief Examiners
- Associate Professor Jonathan Keith
- Unit Coordinators
- Associate Professor Jonathan Keith
Common questions
What are the prerequisites for MTH5540?
MTH5540 has no prerequisites, but enrolment rules apply.
When is MTH5540 offered?
In 2020, MTH5540 runs in Semester 1 at Clayton.