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 2023 in Semester 1 at Clayton. It has no prerequisites.
- Credit points
- 6
- Offered in 2023
- Semester 1
- Clayton
- Assessment
- Exam 60%
- and 2 other tasks
This is the 2023 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 2023 handbook.
Enrolment rules
COREQUISITE: Only students enrolled in the Master of Financial Mathematics and the Master of 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 2023
| Teaching period | Campus | Mode |
|---|---|---|
| First semester | Clayton | On campus |
Assessment
- AssignmentsAssignment30%
- Applied class activities10%
- Examination (3 hours and 10 minutes)ExamThreshold hurdle60%
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
- Lectures36 hours
- Applied sessions11 hours
- Two 1.5 -hour lectures;
- One 1-hour applied class (in weeks 2-12) and
- Eight hours of independent study 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 2023, MTH5540 runs in Semester 1 at Clayton.
Does MTH5540 have an exam?
Yes. The exam is worth 60% of the final mark, alongside 2 other tasks.