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

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Book Chapters and Class Slides

Summer 2015

Note: These notes and accompanying spreadsheets are preliminary and incomplete and they are not guaranteed to be free of errors. Check the revision dates for updates. Please let me know if you find typos or other errors. Comments and suggestions are welcome. 

Return Calculations

• returnCalculations.pdf.  Book chapter: asset return calculations. Revised June 24, 2014.

• returnCalculationSlides.pdf. Class slides: asset return calculations.  Revised June 24, 2014.

  • returnCalculations.xls.  Revised October 24, 2006.

  • returnCalculations.r. Revised June 24, 2011
    • msftPrices.csv
    • sbuxPrices.csv

Probability Review

• probReview.pdf. Book chapter: review of random variables and probability distributions. Revised January 16, 2015

• probabilityReviewPowerpoint.pdf. Revised January 12, 2015.

• probReviewSlidesPart1.pdf. Class slides: review of univariate random variables and probability distributions. Revised January 12, 2015.

• probReviewSlidesPart2.pdf. Class slides: review of bivariate distributions, and linear combinations of random variables. Revised July 7, 2014.

  • probReview.xls.  Revised July 3, 2011

  • probReview.r.  Revised June 26, 2012

Matrix Algebra

• matrixreview.pdf. Book chapter reviewing some basic results from matrix algebra. Revised August 15, 2013.

• matrixreviewslides.pdf. Class slides on review of matrix algebra. Revised July 11, 2013

• matrixReviewPowerpoint.pdf. Powerpoint examples. Revised July 7, 2011.

  • matrixReview.r.  R script file used for Powerpoint examples. Revised July 11, 2013. 

Time Series Concepts

• timeSeriesConcepts.pdf. Book chapter on basic time series concepts. Revised July 11, 2011.

• timeSeriesConceptsSlides.pdf.  Class slides: review of basic time series concepts (stationarity, MA and AR models). Revised: July 8, 2014.

• timeSeriesConceptsPowerPoint.pdf.  Powerpoint examples. Revised July 8, 2014.

  • timeSeriesConcepts.r.  R script file used for Powerpoint examples. Revised July 8, 2014.

Descriptive Statistics

• descriptiveStatistics.pdf. Book chapter on descriptive statistics for financial time series. Revised July 7, 2014.

• descriptiveStatisticsSlides.pdf. Class slides. Basic descriptive statistics (histograms, sample statistics, qq-plots, boxplots, scatterplots, sample autocorrelations). Revised July 16, 2013.

• descriptiveStatisticsPowerPoint.pdf. Powerpoint examples. Revised July 16, 2013.

• descriptiveStatisticsDailyPowerPoint.pdf. Powerpoint examples. Revised July 16, 2013.

  • descriptiveStatistics.r.  R script file. Revised July 7, 2014.

  • descriptiveStatisticsDaily.r.  R script file. Revised July 16, 2013. 

Constant Expected Return Model

• constantExpectedReturn.pdf. Book chapter on the constant expected return model of asset returns. Revised February 23, 2015.

• cerModelEstimation.pdf. Book chapter on estimating the constant expected return model. Revised February 23, 2015.

• cerModelSlides.pdf. Class slides. Revised: July 12, 2012.

• cerModelPowerPoint.pdf.  Powerpoint examples. Revised: July 12, 2012.

  • cerModelExamples.r.  R script file.  

Bootstrapping in CER Model

• bootStrapSlides.pdf.  Class slides. Revised: July 17, 2012.

• bootStrapPowerPoint.pdf. Powerpoint examples. Revised: July 17, 2012

  • bootStrap.r.  R script file. Revised: July 17, 2012 

Hypothesis Testing in CER Model

• hypothesisTestingCERSlides.pdf. Class slides. Revised: July 17, 2012.

• hypothesisTestingCERpowerpoint.pdf. Powerpoint examples. Revised: July 17, 2012.

  • hypothesisTestingCER.r. R script file. Revised: August 2, 2011.

Maximum Likelihood Estimation

• mleSlides.pdf. Class slides. Revised: July 26, 2012.

• maximumLikelihoodPowerpoint. Powerpoint examples. Revised: July 26, 2012.

• maximumLikelihood.r R script file. Revised: July 19, 2012.

Introduction to Portfolio Theory

• IntroductionPortfolioTheory.pdf. Book chapter on Introduction to portfolio theory. Revised August 4, 2011.

• portfolioTheory1Slides.pdf.  Class slides. Revised July 26, 2012.

  • introductionToPortfolioTheory.r. Posted July 26 2012.

Portfolio Theory with Matrix Algebra

• portfolioTheoryMatrix.pdf. Computing efficient portfolios using matrix algebra. Updated November 9, 2011

• portfolioTheoryMatrixSlides.pdf. Class slides. Revised  August 9, 2012.

• portfolioTheoryNoShortSalesSlides.pdf. Updated August 9, 2012

• portfolioTheoryNoShortSalesPowerpoint.pdf. Updated August 9, 2012.

• rollingPortfolioSlides. Class slides on the statistical analysis of efficient portfolios. Revised November 12, 2002.

  • portfolioTheoryMatrix.r

  • portfolio.r

  • testport.r

  • rollingPortfolios.r

  • testPortfolioOptim.r

  • portfolio_noshorts.r

• rollingPortfoliosPowerPoint.pdf.  Powerpoint examples. Revised November 12, 2008. 

Risk Budgeting

Statistical Analysis of Optimized Portfolios

Single Index Model and Linear Regression

• singleIndexSlides.pdf. Class slides. Revised August 14, 2012.

• estimateSiModelSlides.pdf. Class slides. Revised  August 12, 2012.

• singleIndexPowerPoint.pdf

  • singleIndex.r

Rolling Analysis of Single Index Model

• rollingSlides.pdf. Class slides. Revised May 31, 2006

• rollingPowerPoint.pdf.  Powerpoint examples. Revised May 31, 2006.

  • rolling.r

Capital Asset Pricing Model

• capm2.pdf. The capital asset pricing model and some simple tests.

• capmSlides.pdf.  Revised December 3, 2004.

• testCAPM.ssc
• berndt.csv

Measuring Portfolio Performance

• performanceSlides.pdf. Revised December 9, 2009.