Reddit reviews Analysis of Financial Time Series
We found 5 Reddit comments about Analysis of Financial Time Series. Here are the top ones, ranked by their Reddit score.
John Wiley Sons
We found 5 Reddit comments about Analysis of Financial Time Series. Here are the top ones, ranked by their Reddit score.
What part of finance are you interested in?
Asset pricing?
Corporate Finance?
Behavioral Finance?
Financial Econometrics?
Market Microstructure?
Try /r/algotrading they have an decent sidebar.
I would also suggest:
An Introduction to Analysis of Financial Data with R by Tsay
Analysis of Financial Time Series, again by Tsay
Algorithmic Trading and DMA by Johnson
Empirical Market Microstructure by Hasbrouck
Sure no problem. I went thought the first few chapters in this book by Tsay:
 
https://www.amazon.com/Analysis-Financial-Time-Ruey-Tsay/dp/0470414359
 
Then I downloaded free finance data online where I could find it and also from this site called Quandl:
 
https://www.quandl.com/
 
I then loaded the data into a database and wrote a small application (using python, R, and java) to pull the time series data from the database and implement the calculations that I understood in that book.
 
I talked about this project in my cover letter for any job I applied to. It was definitely helpful in job interviews to be able to discuss what I had done. I also learned a lot because when I started I didn't have very much experience with programming so it was definitely a good learning experience.
If you want help getting started, let me know what questions you have and i'll send you some notes.
 
Edit: The book below (by Makridakis/Hyndman) is much simpler book and is a better introduction to time series than the book in the first link above. I read this first got a basic understanding of time series and forecasting. After getting through a few chapters in Hyndman, the Tsay book is much easier to understand. But in either case building small application that implement these methods in either of these books is a great exercise.
 
https://www.amazon.com/Forecasting-principles-practice-Rob-Hyndman/dp/0987507109/
 
You can also get the contents of that book for free at this link:
 
https://www.otexts.org/fpp
If you are interested in financial applications, this book is great: http://www.amazon.com/Analysis-Financial-Wiley-Probability-Statistics/dp/0470414359/ref=sr_1_1?s=books&ie=UTF8&qid=1345211947&sr=1-1&keywords=financial+time+series
I found this book and going by it, they say it is a classic and a good thing is that it does not start from the Gaussian distribution of returns assumption. I hope it helps you.
https://www.amazon.de/Analysis-Financial-Wiley-Probability-Statistics/dp/0470414359