ECON 424/AMATH 462: Introduction to Computational Finance and Financial Econometrics

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Last updated: March 25, 2015

Introduction | Short Courses | Ruppert Examples | Class Examples | Packages

Introduction

• An Introduction to R
• R for Beginners
• Introduction to R for Finance (used in UW Computational Finance MS program)

R Short Courses

• Try R � a short course that lets you jump right in
• Computing for Data Analysis � 4 weeks worth of videos from a popular Coursera course
• Quick-R. Great website for learning R in a hurry.

Ruppert Examples

Web page containing data and examples for Statistics and Data Analysis for Financial Engineeering

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

• Working with Time Series Data in R: Updated: October 21, 2008
  • readData.r
• 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
• maximumLikelihood.r R script file. Revised: July 19, 2012.

Portfolio Theory

• introductionToPortfolioTheory.r. Posted July 26 2012.
• portfolio.r
• portfolioTheoryMatrix.r
• testport.r
• portfoliofunctions.pdf (description of R functions for portfolio analysis with short sales)
• rollingportfolios.r
• testPortfolioOptim.r
• portfolio_noshorts.r

Single Index Model

• singleIndex.r

• singleIndexPrices.xls

CAPM

• testCAPM.ssc
• berndt.csv

Packages

The following R packages will be used in class:

• introCompFinR:  Package to accompany the book Introduction to Computational Finance and Financial Econometrics. This package is currently under development and is not available on CRAN. You can install in from R using the command install.packages("IntroCompFinR", repos="http://R-Forge.R-project.org").

• 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

• 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.

• PerformanceAnalytics:  Econometric tools for performance and risk analysis

  • Vignette: PerformanceAnalytics Charts and Tables Reference.