Solutions to Selected Computer Lab Problems and Exercises
in Chapter 4 of Statistics and Data Analysis for Financial
Engineering, 2nd ed. by David Ruppert and David S.
Matteson
c 2016 David Ruppert and David S. Matteson.
80
60
70
adjPrice
90
100
Problem 9

ORIE5640
Statistics for Financial Engineering
Discussion 9: Exam 2, Model Specification
Stationarity in ARMA models, Seasonal Differencing
David Sinclair
April 9, 2015
David Sinclair
ORIE5640
Question 1 Part (e)
If these copulas were of returns on pairs o

ORIE5640
Statistics for Financial Engineering
Discussion 1: R and Linear Regression Overview
David Sinclair
January 22, 2015
David Sinclair
ORIE5640
What is R?
A flexible statistical programming language designed for
statistical computing and creating pub

CORNELL UNIVERSITY
STSCI/ORIE 5640
Statistics for Financial Engineering
Spring 2015: Prof. David S. Matteson
Assignment #7: Time Series I
This assignment is due at 1:25PM on Thursday April 9, 2015. Late homework is not accepted, and
homework is not accep

STSCI/ORIE 5640, Spring 2015, Matteson | Exam 1 Solutions
By: David Sinclair
February 20, 2015
1. The gure below contains a plot of a kernel density estimate and a normal quantile plot of a
sample of 3000 observations.
(a) Compared to a normal distributio

STSCI/ORIE 5640, Spring 2015, Matteson Exam 3 Solutions
By : David Sinclair
April 24, 2015
1. Standardized residuals, denoted by t = a
t /
t , are often used to check a fitted ARMA-GARCH
model. What are the purposes of checking (breif answers please):
(i)

CORNELL UNIVERSITY
STSCI/ORIE 5640
Statistics for Financial Engineering
Spring 2015: Prof. David S. Matteson
Assignment #6: Copulas
This assignment is due at 1:25PM on Wednesday March 18, 2015. Late homework is not accepted,
and homework is not accepted

STSCI/ORIE 5640, Spring 2015, Matteson Exam 2 Solutions
By : David Sinclair
March 20, 2015
1. The figure below (removed) has scatterplots of random samples from six bivariate copulas.
(a) Which scatterplot is of an independence copula? Explain your answer

CORNELL UNIVERSITY
STSCI/ORIE 5640
Statistics for Financial Engeneering
Spring 2015: TA. David Sinclair
Assignment #6: Copulas
Problem 1 Exercise 8.12 #1
Recall that (Y1 , Y2 ) = E[signcfw_(Y1 Y1 )(Y2 Y2 )] for independent copies Y1 , Y2 of Y1 and Y2 .
No

STSCI/ORIE 5640 Statistics for Financial Engineering
Cornell University, Spring 2015
Professor David S. Matteson
Course Email: [email protected]
1
Home Page
5
All course materials can be found on Blackboard:
http:/blackboard.cornell.edu/
2
This is the

ORIE5640
Statistics for Financial Engineering
Discussion 8: Exam 2, ACF and PACF
David Sinclair
March 26, 2015
David Sinclair
ORIE5640
Question 2 Part (b)
The following program was run to compute a bootstrap-t
confidence interval for the scale parameter o

ORIE5640
Statistics for Financial Engineering
Discussion 4: Creating Skewed Distributions, TKDE
David Sinclair
February 12, 2015
David Sinclair
ORIE5640
Creating Skewed Distributions
Let be a positive constant, and f be a density that is symmetric
about 0

Solutions to Selected Computer Lab Problems and Exercises
in Chapter 2 of Statistics and Data Analysis for Financial
Engineering, 2nd ed. by David Ruppert and David S.
Matteson
c 2016 David Ruppert and David S. Matteson.
Problem 12. Code to produce the pl

Solutions to Selected Computer Lab Problems and Exercises
in Chapter 3 of Statistics and Data Analysis for Financial
Engineering, 2nd ed. by David Ruppert and David S.
Matteson
c 2016 David Ruppert and David S. Matteson.
Problem 3. The yield is 0.0324:
>

Solutions to Selected Computer Lab Problems and Exercises
in Chapter 5 of Statistics and Data Analysis for Financial
Engineering, 2nd ed. by David Ruppert and David S.
Matteson
c 2016 David Ruppert and David S. Matteson.
Problem 1 The plots are below. The

ORIE 5640
Statistics for Financial Engineering
Lab 10: Time Series
David Sinclair
April 16, 2015
David Sinclair
ORIE 5640
ARCH and GARCH models
ARIMA models are used to model the conditional expectation,
with constant variance.
Now we look at modeling var

ORIE5640
Statistics for Financial Engineering
Discussion 5: Exam 1, SDAFE Lab 6.6.1,
Bootstrap Confidence Intervals
David Sinclair
February 26, 2015
David Sinclair
ORIE5640
Exam: Problem 3
True or False?
(a) A p-value determines the significance level of

ORIE5640
Statistics for Financial Engineering
Discussion 2: Linear Regression Overview,
Likelihood, SDAFE Lab 5.20.1
David Sinclair
January 29, 2015
David Sinclair
ORIE5640
Quick Overview of Linear Regression
N
If (Yi )N
i=1 are our observations, and (Xi

ORIE5640
Statistics for Financial Engineering
Discussion 3: QQ-Plots, Shapiro Wilk test
SDAFE Lab 5.20.2
David Sinclair
February 5, 2015
David Sinclair
ORIE5640
QQ-Plots
iid
Suppose X1 , . . . , Xn F , for a distribution function F . Let F be
a distributi

Chapter 2
Introduction to Market Microstructure
Chandrasekhar Krishnamurti
2.1 Chapter Introduction and Objectives
A stock exchange or bourse is a corporation or a mutual organization that provides trading facilities for traders to trade stocks and other