Subject
Mathematics
Program
Master of Science (MSc)
Location
Côte-des-Neiges
Instruction mode
Credits
3
Description
Big data is now ubiquitous in financial engineering and quantitative finance. The main objective of this course is to present students with a range of quantitative tools allowing information to be extracted from large databases
Using financial data, either structured (yields, prices, etc.) or unstructured (texts), students will become familiar with machine learning approaches, textual analysis, the use of filters to extract unobservable variables, as well as issues related to high frequency data.
Themes covered
Machine learning methods
Textual analysis
Linear and non-linear filters
High-frequency data
Important notes
Course in French : MATH 60610
The PhD course MATH 80631A is now a MSc course