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


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)

Exercises (All in Word 2003)



Lectures 6 - 10 (All in PowerPoint 2003 Format)

Exercises (All in Word 2003)



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.

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.

Class Examples

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

Descriptive Statistics

CER Model

Portfolio Theory

Single Index Model


Multi Index (Factor) Models