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# begin_overhead - Introduction 1 INTRODUCTION About the...

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Unformatted text preview: Introduction 1 INTRODUCTION About the course • Course materials online – Blackboard (ORIE 473) • Textbooks – Ruppert, D. (2004). Statistics and Finance: An Introduction , Springer. • Overheads used in lecture are available online Introduction 2 • There will be – regular homework (10%) * homework assignments and solutions online – two in-class prelims (25% each) * Feb 26 * April 2 – final (40%) * Thu, May 10, 7:00 - 9:30 pm Introduction 3 What does this course cover? Title = “Operations Research Tools for Financial Engineering” Old Title = “Empirical Research Methods in Financial Engineering” Introduction 4 Course will cover both • finance • statistics and data analysis – Applicable to all areas of engineering and finance Introduction 5 What can we learn from data? Example: Cree daily stock prices from Jan 3, 1994 to Dec 30, 2005 Introduction 6 1994 1996 1998 2000 2002 2004 2006 10 20 30 40 50 60 70 80 90 100 year share price Cree Daily Stock Prices Introduction 7 1994 1996 1998 2000 2002 2004 2006-40-30-20-10 10 20 30 year percent net return Cree Daily Returns (as a percentage) mean = 0.22%, std dev = 5.21% Introduction 8-40-30-20-10 10 20 30 40-40-30-20-10 10 20 30 40 lagged return return Cree: Return versus lagged return Introduction 9 1992 1994 1996 1998 2000 2002 2004 2006 5 10 15 20 25 30 year simulated share price Cree: simulated prices 1 Introduction 10 1992 1994 1996 1998 2000 2002 2004 2006 200 400 600 800 1000 1200 1400 year simulated share price Cree: simulated prices 2 Introduction 11 1992 1994 1996 1998 2000 2002 2004 2006 20 40 60 80 100 120 140 160 year simulated share price Cree: simulated prices 3 Introduction...
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begin_overhead - Introduction 1 INTRODUCTION About the...

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