Time Series Analysis in Python
In this course you'll learn the basics of analyzing time series data.
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Course Description
From stock prices to climate data, time series data are found in a wide variety of domains, and being able to effectively work with such data is an increasingly important skill for data scientists. This course will introduce you to time series analysis in Python. After learning about what a time series is, you'll learn about several time series models ranging from autoregressive and moving average models to cointegration models. Along the way, you'll learn how to estimate, forecast, and simulate these models using statistical libraries in Python. You'll see numerous examples of how these models are used, with a particular emphasis on applications in finance.
- 1
Correlation and Autocorrelation
FreeIn this chapter you'll be introduced to the ideas of correlation and autocorrelation for time series. Correlation describes the relationship between two time series and autocorrelation describes the relationship of a time series with its past values.
Introduction to Course50 xpA "Thin" Application of Time Series100 xpMerging Time Series With Different Dates100 xpCorrelation of Two Time Series50 xpCorrelation of Stocks and Bonds100 xpFlying Saucers Aren't Correlated to Flying Markets100 xpSimple Linear Regression50 xpLooking at a Regression's R-Squared100 xpMatch Correlation with Regression Output50 xpAutocorrelation50 xpA Popular Strategy Using Autocorrelation100 xpAre Interest Rates Autocorrelated?100 xp - 2
Some Simple Time Series
In this chapter you'll learn about some simple time series models. These include white noise and a random walk.
Autocorrelation Function50 xpTaxing Exercise: Compute the ACF100 xpAre We Confident This Stock is Mean Reverting?100 xpWhite Noise50 xpCan't Forecast White Noise100 xpRandom Walk50 xpGenerate a Random Walk100 xpGet the Drift100 xpAre Stock Prices a Random Walk?100 xpHow About Stock Returns?100 xpStationarity50 xpIs it Stationary?50 xpSeasonal Adjustment During Tax Season100 xp - 3
Autoregressive (AR) Models
In this chapter you'll learn about autoregressive, or AR, models for time series. These models use past values of the series to predict the current value.
Describe AR Model50 xpSimulate AR(1) Time Series100 xpCompare the ACF for Several AR Time Series100 xpMatch AR Model with ACF50 xpEstimating and Forecasting AR Model50 xpEstimating an AR Model100 xpForecasting with an AR Model100 xpLet's Forecast Interest Rates100 xpCompare AR Model with Random Walk100 xpChoosing the Right Model50 xpEstimate Order of Model: PACF100 xpEstimate Order of Model: Information Criteria100 xp - 4
Moving Average (MA) and ARMA Models
In this chapter you'll learn about another kind of model, the moving average, or MA, model. You will also see how to combine AR and MA models into a powerful ARMA model.
Describe Model50 xpSimulate MA(1) Time Series100 xpCompute the ACF for Several MA Time Series100 xpMatch ACF with MA Model50 xpEstimation and Forecasting an MA Model50 xpEstimating an MA Model100 xpForecasting with MA Model100 xpARMA models50 xpHigh Frequency Stock Prices100 xpMore Data Cleaning: Missing Data100 xpApplying an MA Model100 xpEquivalence of AR(1) and MA(infinity)100 xp - 5
Putting It All Together
This chapter will show you how to model two series jointly using cointegration models. Then you'll wrap up with a case study where you look at a time series of temperature data from New York City.
Cointegration Models50 xpA Dog on a Leash? (Part 1)100 xpA Dog on a Leash? (Part 2)100 xpAre Bitcoin and Ethereum Cointegrated?100 xpCase Study: Climate Change50 xpIs Temperature a Random Walk (with Drift)?100 xpGetting "Warmed" Up: Look at Autocorrelations100 xpWhich ARMA Model is Best?100 xpDon't Throw Out That Winter Coat Yet100 xpCongratulations50 xp
In the following tracks
Time SeriesCollaborators
Prerequisites
Manipulating Time Series Data in Python
Rob Reider
Consultant at Quantopian and Adjunct Professor at NYU
Rob is an Adjunct Professor at NYU's Courant Institute where he co-teaches a course on Times Series Analysis and Statistical Arbitrage. He is also currently a Consultant to Quantopian. He has been a Portfolio Manager for over 15 years at Millennium Partners, JPMorgan, and Visium Asset Management. Rob received his Ph.D. in Finance from Wharton.
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