The goal of the class is to introduce financial econometrics: the intersection of statistics and asset pricing. We will cover a wide range of topics, including linear and nonlinear time series, volatility modeling, multivariate time series, and factor models. Particularly, we will discuss how factor-based investing and machine learning are employed in the investment industry. The prerequisites include one course in probability and statistics, one course in regression analysis, and basic knowledge in time series models. Students are expected to work at least 5 hours after every lecture.