lecture 1 - Lecture 1 Asset returns and basic probability...

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Lecture 1: Asset returns and basic probability Xin T Tong Thursday 18 th August, 2016 Xin Tong Returns and probability 1 / 46
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Contacts Lecturer: Xin Tong (Thomson) Email: [email protected] Office: S17-08-06. Office hour: after (or before) the lecture. Special office hour by email appointment. Xin Tong Returns and probability 2 / 46
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Material Analysis of financial time series, 3rd Edition, Ruey S. Tsay. Wiley, 2010. Chapters 1-3, 7, 8, 10 (4,9) . Available online at the NUS library . My own lecture notes and slides. Will be uploaded to IVLE before Monday each week. R program. Mostly widely used statistical software in academia. Can be downloaded freely. Xin Tong Returns and probability 3 / 46
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Final grade composition Your final grade will be computed based on the following: Final(35%): 23-Nov-2016. Midterm(25%): 04-Oct-2016. Assessment(15%): every week except 04-Oct. Homework(25%): every other week. Xin Tong Returns and probability 4 / 46
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Online assessments Easy multiple choice questions for quick self assessment Available on IVLE each week, due by 11:59pm each Friday. Feedback to you: see if you understand the lecture well. Feedback to me: how well is the content received. As long as you finish the assessment, you will get its full marks (else zero). Let me know ahead of time for special conditions. Xin Tong Returns and probability 5 / 46
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Homework policy 4-5 questions that require derivation, explanation or R-coding. Collected the next week after class. Returned to you one week afterward, or at my/TA’s office. 50% marks off if collected next day. Will not be collected afterwards. Submit hardcopies. Don’t send electronically. Let me know ahead of time for special conditions, also cc the TA. Open for collaboration, but you have to give credit. Xin Tong Returns and probability 6 / 46
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R tutorials R studio Open source, free software for statistical computing. Console type, objective oriented programs. Significant portion of homework will rely on it. Exams will ask you to read R outputs. Textbook contains most commands we will use. Google is the best teacher. Mini tutorials imbedded. If you think you need a more elaborate tutorial, let me know. Xin Tong Returns and probability 7 / 46
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Discussion in class Small group discussion will occur frequently (3 hours is too long...) Group size: 3-4. One member has a laptop or cellphone. Submit your discussion result to . Or text your result to 77577 with format: code your answer . Networking skills will probably be more important for your future. If you know the question answer: explain to your team members in details with patience. If you don’t know the answer: learn from people already know it until you can explain it. Try to make friends with strangers. Xin Tong Returns and probability 8 / 46
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Learning Outcomes This module introduces some basic models of financial time series, such as AR, MA, ARMA, GARCH, VaR and their multivariate versions. Nonlinear models and factor models will also be covered if time permits.
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