assn2 - Statistics 244: Algorithmic Trading and...

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Statistics 244: Algorithmic Trading and Quantitative Strategies (Summer 2010) Assignment 2 Due Thursday July 22nd, Noon Instruction: 1. The assignments can be done independently or in a team of three. 2. Present only the relevant ‘R’ code with clear narratives, plots and tables. 3. Submit it in class or to a homework box on second floor Sequoia (outside of Rooms 227-231) with tag ‘STAT 244 HW (in)’ 4. AFTS stands for the book Analysis of financial time series. The relavent section is provided in another material. 5. There might be one additional problem on portfolio rebalancing or on VaR. 1
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1 The file “d-gs9910.txt” contains daily open, high, low, closing prices and other variables for the stock of Goldman Sachs Grourp Inc. from May 4, 1999 to May 7, 2010. The names of the variables are given in the first row of the file (i.e. the header). The data are downloaded from Yahoo Finance. Use the data to construct the variance estimates ˆ σ 2 i,t of Section 3.15.2 of AFTS for i = 0, 1, 2, 3, 5,and 6. Take the square root transformation to obtain volatility
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assn2 - Statistics 244: Algorithmic Trading and...

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