FIN 6310001 Fall 2015
Prof. Harold Zhang
Problem Set #1
Due in class on Monday, September 14, 2015
1. There are two random variables, X and Y. X takes on values of 3, 1, and 2, while Y can take the
values of 2, 0, and 1. The probability for X and Y at e
FIN 6310.001 Fall 2015
Prof. Harold Zhang
Solutions for Problem Set 1
1. Since we know the values of X and Y in each the possible state and the corresponding probabilities, the
characteristics of each random variable X and Y (think of them as the outcome
FIN 6306 Quantitative Methods in Finance
Chapter 7:
Time Series Analysis
1
Outline
Basics
Univariate Stochastic Models
Autoregressive processes (AR), integration, moving average
(MA) model, Autoregressive moving average model (ARMA)
Tools for Analyzin
FIN 6306 Quantitative Methods in Finance
Chapter 12:
Time Value of Money and
Discounted Cash Flow
1
Introduction
Study of Finance: Analysis of Benefits of Making Investments
Goal of Investments Enhance Wealth and Income of investors
Enhancement: Retur
FIN 6306 Quantitative Methods in Finance
Lecture 2:
Presentation of Data and
Descriptive Statistics
1
Reading / Excel Functions / Web Links
Readings:
Excel Functions:
Data Get External Data
QIA* Ch. 3
Data Data Analysis Histogram
Statistical Concepts
FIN6306
Project1:
Download 4 years (Jan. 2011Jan. 2015) of weekly adj. close price for your favorite U.S. stocks
of your choice and S&P500. Each group needs to choose 5 stocks.
Direction on how to retrieve historical prices from yahoo.finance.com:
Go to
Final Exam Review
FIN6306
Lecture 5:
Explain a linear regression model and its assumptions.
From the output of a regression model, evaluate the overall goodness of fit, test the significance
of coefficients, and write down the regression model from the ou
To do model diagnosis in regression analysis, we can examine the Rsquare, test result of ANOVA
analysis (Ftest), residual plots and model assumption evaluation. The following is an example:
Regression Statistics
Multiple R
R Square
Adjusted R Square
Sta
FIN6306 Project 2
Estimate company betas (the companies in project 1) using regression analysis.
In practice, investors generally use beta to measure the market risk of equity. Many financial
websites provide the information of companys betas. However, wi
FIN 6306 Quantitative Methods in Finance
Chapter 4:
Probability Distributions:
Applications to Asset Returns
1
Reading / Excel Functions / Web Links
Readings:
Excel Functions:
QMF* Ch. 4
Data Get External Data
Probability Distributions: Data Data Anal
FIN 6306 Quantitative Methods in Finance
Lecture 5:
Regression Analysis
1
Outline
Introduction
Correlation and Simple Linear Regression
(Session5a)
Ordinary Leastsquares Regression
Hypothesis Testing
Using Regression for Prediction
Prediction Inte
FIN 6306 Quantitative Methods in Finance
Lecture 4:
Sampling, Estimation and
Hypothesis Testing
1
Outline
Introduction
Fundamental Concepts of Statistics
Sampling Theory
Sampling Distributions of sample statistics
Distribution of the Sample Mean
Cen
FIN 6306 Quantitative Methods in Finance
Lecture 6:
Time Series Analysis
1
Outline
Basics
Univariate Stochastic Models
Autoregressive processes (AR), integration, moving
average (MA) model, Autoregressive moving average model
(ARMA)
Tools for Analyzin
FIN 6306 Quantitative Methods in Finance
Lecture 3:
Probability Distributions:
Applications to Asset Returns
1
Reading / Excel Functions / Web Links
Readings:
QIA* Ch. 4&5
Excel Functions:
Data Get External Data
Data Data Analysis Histogram
Data Data
FIN6306
Analysis 2:
Estimate company betas (the companies from the first project) using regression analysis.
In practice, investors generally use beta to measure the market risk of equity. Many financial
websites provide the information of companys betas.
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FIN 6306 Quantitative Methods in Finance
Chapter 1:
Interest Rates and Asset Returns
1
Introduction
Study of Finance: Analysis of Benefits of Making Investments
Goal of Investments Enhance Wealth and Income of investors
Enhancement: Return
Enhancement
FIN 6306 Quantitative Methods in Finance
Chapter 2:
Presentation of Data and
Descriptive Statistics
1
Reading / Excel Functions / Web Links
Readings:
Excel Functions:
Data Get External Data
QMF* Ch. 2
Data Data Analysis Histogram
Presentation of Data
(page 30 investments)
Inputs
Rate Convention: 1 = EAR, 0 = APR
Annual Coupon Rate (CR)
Annualized Yield to Maturity (YTM)
Number of Payments / Year (NOP)
Number of Periods to Maturity (N)
Face Value (FV)
Price Sensitivity Including Convexity
Annual Percen
Dow Jones Industrial Average (DJIA)
Some facts
30 industrial stock priceweighted average.
Oldest and bestknown in the U.S.
Used to representing about a quarter of the market value of the NYSE stocks.
Quantitatively
DJIA
1
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( P P2 . P30 )
1
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