ECON 424/AMATH 540: Introduction to Computational Finance and Financial Econometrics

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Last updated: June 12, 2012

Introduction | Short Course | Ruppert Examples | Class Examples | Packages

Introduction

• An Introduction to R
• R for Beginners
• Working with Time Series Data in R: Updated: October 21, 2008
  • readData.r

R Short Course

This is a short course on using R put together by Chris Green (PhD student in UW stat dept).

Ruppert Examples

Lei Jin has created R script files to replicate all of the examples in Statistics and Finance: An Introduction by David Ruppert.

Class Examples

The following script files are used to create the examples used in class and presented in the class slides.

Return Calculations

• returnCalculations.r. Updated: June 24, 2011
• msftPrices.csv
• sbuxPrices.csv

Probability Review

• probReview.r Updated: July 3, 2011

Matrix Algebra

• matrixReview.r  Updated: Revised July 7, 2011.

Time Series Concepts

• timeSeriesConcepts.r Updated: July 7, 2011

Descriptive Statistics

• descriptiveStatistics.r.  R script file. Revised July 14, 2011.

• descriptiveStatisticsDaily.r.  R script file. Revised July 14, 2011.

CER Model

• cerModelExamples.r
• bootStrap.r
• hypothesisTestingCER.r

Portfolio Theory

• portfolio.r
• testport.r
• portfoliofunctions.pdf (description of R functions for portfolio analysis with short sales)
• rollingportfolios.r
• testPortfolioOptim.r

Single Index Model

• singleIndex.r

• singleIndexPrices.xls

CAPM

• testCAPM.ssc
• berndt.csv

Packages

The following R packages will be used in class:

• zoo: Z's ordered observations

  • Vignette: zoo: An S3 Class and Methods for Indexed Totally Ordered Observations.

  • Vignette: zoo Quick Reference

• tseries: Time series analysis and computational finance

• TSA: Time series analysis.

• xts: Extensible time series

  • Vignette: xts: Extensible Time Series.

• mvtnorm:  Multivariate normal and multivariate t distribution.

  • Vignette: Using mvtnorm.

• boot: Bootstrap R Functions.

• quadprog. Functions to solve Quadratic Programming Problems.

• fPortfolio. Rmetrics - Portfolio Selection and Optimization

• PerformanceAnalytics:  Econometric tools for performance and risk analysis

  • Vignette: PerformanceAnalytics Charts and Tables Reference.