Statistical engineering has capabilities. In this note, we (Reza Habibi) survey the application of statistical engineering in financial time series. The first chapter considers the filtering of a diffusion process. The second chapter is designed to study the adaptive filter and its applications. The third chapter studies the Wiener system structure. State space models and system stability are considered in chapters 4 and 5. Re-sampling methods are applied in change point detection in a financial time series in chapter 6. Genetic algorithms, Kalman filter and Neural networks are studied in the remaining chapters.