Economics 424:  Introduction to Computational Finance and Financial Econometrics

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Lecture Notes and Class Slides

Fall 2009

Note: These notes and accompanying spreadsheets are preliminary and incomplete and they are not guaranteed to be free of errors. Check the revision dates for updates. Please let me know if you find typos or other errors. Comments and suggestions are welcome. 

Return Calculations

• returnCalculations.pdf.  Lecture notes: asset return calculations. Revised October 10, 2009.

• returnCalculationSlides.pdf. Class slides: asset return calculations.  Revised September 30, 2009.

  • returnCalculations.xls.  Revised October 24, 2006.

  • returnCalculations.r. Updated: October 10, 2009
    • msftPrices.csv
    • sbuxPrices.csv

  • tablet PC notes for lecture 1. Posted September 30, 2009.

  • tablet PC notes for lecture 2. Posted October 5, 2009.

Probability Review

• probReview.pdf. Lecture notes: review of random variables and probability distributions. Revised October 11, 2009

• probReviewSlidesPart1.pdf. Class slides: review of univariate random variables and probability distributions. Revised October 10, 2009.

• probReviewSlidesPart2.pdf. Class slides: review of bivariate distributions, and linear combinations of random variables. Revised: October 10, 2009.

  • probReview.xls.  Revised April 8, 2006

  • probReview.r.  Revised October 11, 2009

  • tablet PC notes for lecture 3. Posted October 10, 2009.

  • tablet PC notes for lecture 4. Posted October 14, 2009.

Time Series Concepts

• timeSeriesConcepts.pdf. Lecture notes on basic time series concepts. Posted October 18, 2009.

• timeSeriesConceptsSlides.pdf.  Class slides: review of basic time series concepts (stationarity, MA and AR models). Revised: October 14, 2009.

• timeSeriesConceptsPowerPoint.pdf.  Powerpoint examples. Revised October 5, 2008.

  • timeSeriesConcepts.r.  R script file used for Powerpoint examples. Revised October 18, 2009.

  • tablet PC notes for lecture 5. Posted October 14, 2009.

Matrix Algebra

• matrixreview.pdf. Lecture notes reviewing some basic results from matrix algebra. Revised: October 17, 2009.

• matrixreviewslides.pdf. Class slides on review of matrix algebra. Revised October 14, 2008

• matrixReviewPowerpoint.pdf. Powerpoint examples. Posted October 19, 2009.

  • matrixReview.r.  R script file used for Powerpoint examples. Revised October 17, 2009.

  • tablet PC notes for lecture 6  Posted October 19, 2009.

Descriptive Statistics

• descriptiveStatisticsSlides.pdf. Class slides. Basic descriptive statistics (histograms, sample statistics, qq-plots, boxplots, scatterplots, sample autocorrelations). Revised October 14, 2008.

• descriptiveStatisticsPowerPoint.pdf. Powerpoint examples. Revised October 14, 2008.

• descriptiveStatisticsDailyPowerPoint.pdf. Powerpoint examples. Revised October 15, 2008.

  • descriptiveStatistics.r.  R script file. Revised October 14, 2008.

  • descriptiveStatisticsDaily.r.  R script file. Revised October 15, 2008.

  • tablet PC notes for lecture 7

Constant Expected Return Model

• constantExpectedReturn.pdf. Lecture notes. The constant expected return model of asset returns. Revised October 27, 2009.

• cerModelSlides.pdf. Class slides. Revised: October 25, 2009.

• cerModelPowerPoint.pdf.  Powerpoint examples. Revised: October 25, 2009.

  • cerModelExamples.r.  R script file.

  • tablet PC notes for lecture 8

Bootstrapping in CER Model

• bootStrapSlides.pdf.  Class slides. Revised: October 17, 2008.

• bootStrapPowerPoint.pdf. Powerpoint examples. Revised: October 18, 2008.

  • bootStrap.r.  R script file. Revised: October 18, 2008

  • tablet PC notes for lecture 9

Hypothesis Testing in CER Model

• hypothesisTestingCERSlides.pdf. Class slides. Revised: October 28, 2008.

• hypothesisTestingCERPowerPoint.pdf. Powerpoint examples. Revised: October 28, 2008.

  • hypothesisTestingCER.r. R script file. Revised: October 28, 2008.

  • tablet PC notes for lecture 10

  • tablet PC notes for lecture 11

Introduction to Portfolio Theory

• IntroductionPortfolioTheory.pdf. Lecture notes on Introduction to portfolio theory. Revised November 10, 2009.

• portfolioTheory1Slides.pdf.  Class slides. Revised November 9, 2009.

• tablet PC notes for lecture 12

  • introductionToPortfolioTheory.r. Posted November 10, 2009.

Portfolio Theory with Matrix Algebra

• portfolioTheoryMatrix.pdf. Computing efficient portfolios using matrix algebra. Posted November 21, 2009

• portfolioTheoryMatrixSlides.pdf. Class slides. Revised November 12, 2008.

• rollingPortfolioSlides. Class slides on the statistical analysis of efficient portfolios. Revised November 12, 2002.

• rollingPortfoliosPowerPoint.pdf.  Powerpoint examples. Revised November 12, 2008.

• tablet PC notes for lecture 13

• tablet PC notes for lecture 14

  • portfolioTheoryMatrix.r

  • portfolio.r

  • testport.r

  • rollingPortfolios.r

  • testPortfolioOptim.r

Single Index Model and Linear Regression

• mm.pdf. Lecture notes on the single index model of asset returns. Revised March1, 2001.

• singleIndexSlides.pdf. Class slides. Revised November 17, 2008.

• estimateSiModelSlides.pdf. Class slides. Revised  November 17, 2008.

• hypothesisTestingSlides.pdf.  Class slides. Revised November 28, 2004.

• tablet PC notes for lecture 15

• tablet PC notes for lecture 16

  • singleIndex.r

Rolling Analysis of Single Index Model

• rollingSlides.pdf. Class slides. Revised May 31, 2006

• rollingPowerPoint.pdf.  Powerpoint examples. Revised May 31, 2006.

  • rolling.r

Capital Asset Pricing Model

• capm2.pdf. The capital asset pricing model and some simple tests.

• capmSlides.pdf.  Revised December 3, 2004.

• testCAPM.ssc
• berndt.csv

Multi Index Models

• multiIndexSlides.pdf. Revised December 8, 2003.

Measuring Portfolio Performance

• performanceSlides.pdf. Revised December 8, 2003.