Economics 424: Introduction to Computational Finance and Financial Econometrics

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Homework Assignments

Fall 2006

• New homework assignments are posted every Wednesday after class. Assignments are due at the beginning of class one week after they are assigned. All Excel spreadsheet and S-PLUS work must be printed. I will not accept homework in electronic format and I will not accept assignments by email (grading becomes too difficult). For printing out your spreadsheets, use Print Preview (File/Print Preview) to determine how the spreadsheet will look when printed. You may find the Print-to-fit feature (File/Print Preview/Setup) helpful. For S-PLUS work, I suggest that you copy and paste statistical output and graphs from S-PLUS into a word processor (e.g MS Word).

• The assignments and solutions are in Adobe Acrobat files (.pdf format). You will need the Adobe Acrobat viewer to view and print the files. Most browsers on campus have the Acobat plug-in installed. If you don't have the Acrobat plug-in you can get it free at Adobe's web site.

Last updated: December 26, 2006

Assignment

Due Date

Programs/Data

Solutions

• Lab 1

• S-PLUS introduction (see syllabus page for reading)

Monday 10/07/06 at the beginning of class

download data from finance.yahoo.com. See below for instructions.

solutions (Excel)

• Lab 2

Wednesday 10/18/06 at the beginning of class

probReview.xls

solutions (Questions 1-5 Excel)

Solutions (Questions 6-8)

• Lab 3

Wednesday 10/25/06 at the beginning of class

lab3.ssc

econ424lab3returns.xls

solutions

• Lab 4

Wednesday 11/01/06 at the beginning of class

lab4.ssc

econ424lab4returns.xls

solutions

• Lab 5

Wednesday 11/08/06 at the beginning of class

lab5.ssc

econ424lab5Prices.xls

solutions

• Lab 6

Wednesday  11/15/06 at the beginning of class

424project.ssc

projectDataFall2006.xls

None for this assignment

• Lab 7

Wednesday  11/22/06 at the beginning of class

introPortfolioTheory.xls

483solverex.xls

solutions

• Lab 8

Wednesday  11/29/06 at the beginning of class

3firmExample.xls

econ424lab8returns.xls

424lab8.SSC

solutions

• Lab 9

Wednesday  12/06/06 at the beginning of class

424lab9returns.xls

424lab9.ssc

solutions

To get data from Yahoo! do the following for each series to be downloaded:

1. Point your browser to the Yahoo! finance site.

2. In the Get Quotes box type the symbol of the stock for which you want data. For example, the symbol for Microsoft is MSFT. If you do not know the ticker symbol use the symbol lookup link at the right of the box.

3. The recent quote for your stock as well as a wealth of other information will be presented on a new page. To get historical prices, click the historical prices link on the upper left panel of the page.

4. A new page will open and you will be able to specify the date ranges for the data to be downloaded and the frequency of the data (daily, weekly or monthly).

5. After setting the date and frequency information, click the get prices button.  This brings up a table with your specified data.

6. At the bottom of the displayed table click on Download to Spreadsheet. This will bring up a Save As dialogue box. Specify a name for the file and save to disk. Each file will contain 6 columns (as in the table below). For monthly data, the column labeled Open gives the opening price at the beginning of the month, the column labeled High gives the highest price during the month, the column labeled Low gives the lowest price during the month, the column labeled Close gives the closing price during the month and the column labeled Volume gives the total monthly volume. The open and the close data have been adjusted for dividends and stock splits. Use the (adjusted) close data for your analysis. 

After downloading your data file, you need to reverse the time ordering of the data in the file. To reverse the time ordering of the data do the following.

Open the .csv file containing your data in Excel. You should see data arranged like the following

Notice that the most recent data is at the top of the spreadsheet. To reverse the date ordering of the data, highlight all of the data (including the column headers). Then select Data/Sort which brings up the Sort dialogue box. In the Sort by box choose Date, click the Ascending option and the OK box. Your data will be sorted from the earliest date to the latest date.