Economics 424: Introduction to Computational Finance and Financial Econometrics

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Last updated: September 21, 2007

Introduction | Short Course | Smith Notes | Ruppert Examples | Class Examples

Introduction

This page contains S-PLUS scripts to go along with the examples in my lecture notes. Many of the scripts utilize the special timeDate and timeSeries classes in S-PLUS 6, which are documented in chapters 15 and 16 of the S-PLUS Guide to Statistics Vol 2 (all S-PLUS documentation is available from the online help).  A general introduction is also available in chapter 2 of my book Modeling Financial Time Series with S-PLUS. The examples also utilize many of the functions in the S+FinMetrics module, which is not included with the base installation of S-PLUS. S+FinMetrics is included with the University of Washington S-PLUS site license package, and is also installed with S-PLUS on the computers in the CSSCR network. S+FinMetrics is not provided with the free student version of S-PLUS.

S-PLUS Short Course

This is a short course on using S-PLUS for finance put together by Chris Green (PhD student in UW stat dept) for the Graduate Certificate in Computational Finance.

Lectures 1-5 (All in PowerPoint 2003 Format)

• Lecture 1: Introduction
• Lecture 2: S-PLUS Environment
• Lecture 3a: Importing and Exporting Data
• Lecture 3b: Objects and Data Structures
• Lecture 3c: Manipulating Data
• Lecture 4: Functions and Operators—Overview
• Lecture 5a: Functions and Operators—Built-In Operators
• Lecture 5b: Functions and Operators—Built-In Functions

Exercises (All in Word 2003)

• Introductory Session.
• Exercises for Lecture 2.
• Exercises for Lecture 3.
• Exercises for Lecture 4.
• Exercises for Lecture 5.

Scripts

Data

Lectures 6 - 10 (All in PowerPoint 2003 Format)

• Lecture 6: Functions and Operators—Writing Scripts and Functions
• Lecture 8: Traditional Graphics
• Lecture 9: Trellis Graphics—Overview
• Lecture 10: Visualizing timeSeries objects.
• seriesPlot documentation (for Heiko Bailer's modified seriesPlot)

Exercises (All in Word 2003)

• Exercises for Lecture 6.
• Exercises for Lecture 8.
• Exercises for Lecture 9.
• Exercises for Lecture 10.

Scripts

Data

David Smith's S-PLUS in Finance Notes

These notes provide a gentle introduction to S-PLUS, together with some simple examples from Finance. They were prepared for a short course on the use of S-PLUS in Finance given by David Smith in 1999, and are based on S-PLUS 2000 for windows. They are a good supplement to the material in The Basics of S-PLUS by Krause and Olson.

• financeManual.zip (notes and data in zip format)

Ruppert Examples

Chris Green (Phd student in statistics dept) has created S-PLUS script files to replicate all of the examples in Statistics and Finance: An Introduction by David Ruppert. The zip file below contains all of the example scripts as well as the necessary data files.

• ruppert-code-release-0.0.01.zip

Class Examples

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

Descriptive Statistics

• descriptiveStatistics.ssc

CER Model

• cerModelExamples.ssc
• bootStrap.ssc

Portfolio Theory

• portfolio.ssc
• tangency.ssc

Single Index Model

• singleIndex.ssc

• hypothesisTesting.ssc

• rolling.ssc

• siPortfolio.ssc

CAPM

• testCAPM.ssc

Multi Index (Factor) Models

• factorModel.ssc