ECON 424/AMATH 462: Computational Finance and Financial Econometrics
Final Project: Fall 2014
Note: Please check this page for updates and corrections every few days. Additions will be dated.
Last updated: September 23, 2014
For this project, everyone will be using the same data.
Information on these funds is available on the Yahoo! finance site. After typing in the sticker symbol and retrieving the quote data, choose Profile to get a summary of the fund. Please review each fund before doing any of the analysis below.
For the project you will analyze 5 years of monthly closing price data from the end of May 2009 through the end of May 2014.
The following R script file guides you through the creation of the necessary R objects for the analysis of the data in R
Organization of Results
As in the homework assignments, summarize your R work in a Word file. You will find it helpful to organize your Excel results in a spreadsheet by task. That is, put all of the data in one worksheet tab, put all the graphs in another, put the portfolio analysis in another tab, etc. This will make it easier for you to print out results. It is also helpful to use names for your data and for certain results. This makes working with formulas much easier and it also helps to eliminate errors in formulas etc.
You will find it helpful to add text boxes in your spreadsheet to organize comments etc.
Remember to save your work often as Excel has a tendency to crash with large complicated spreadsheets. Also, keep a back-up copy of your project.
I want you to give a formal write-up, separate from the Excel spreadsheet analysis and R statistical analysis. Treat this write-up as a term-paper project. Typically, the write-up is between 10 and 20 pages (double spaced with graphs and tables). Your write up should consist of:
You may find it helpful to include parts of your spreadsheet and computer output as part of your write-up. Alternatively, you can refer to your spreadsheets for the quantitative results, graphs etc.
Turn in the formal write-up, as well as a print-out of your Excel spreadsheets and R output, in a bound folder.
I have boxes of projects from previous classes. Feel free to come by my office to look at them.
Exerpts from an example class project: 424projectExample.pdf