Computer Finance and Financial Econometrics PDF SLIDES

Computer Finance and Financial Econometrics

Instructor: Eric Zivot
Textbook: Statistics and Data Analysis for Financial Engineering by David Ruppert
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Return Calculations

• returnCalculations.pdf.  Lecture notes: asset return calculations. returnCalculationSlides.pdf. Class slides: asset return calculations

 Probability Review

• probReview.pdf. Lecture notes: review of random variables and probability distributions


• probabilityReviewPowerpoint.pdf.


• probReviewSlidesPart1.pdf. Class slides: review of univariate random variables and probability distributions.
  
  
  
  • probReviewSlidesPart2.pdf. Class slides: review of bivariate distributions, and linear combinations of random variables.
  
  
  
  

matrix Algebra

• matrixreview.pdf. Lecture notes reviewing some basic results from matrix algebra. matrixreviewslides.pdf. Class slides on review of matrix algebra. matrixReviewPowerpoint.pdf. Powerpoint examples

Time Series Concepts

• timeSeriesConcepts.pdf. Lecture notes on basic time series concepts.


• timeSeriesConceptsSlides.pdf.  Class slides: review of basic time series concepts (stationarity, MA and AR models).
  
  
  
  • timeSeriesConceptsPowerPoint.pdf.  Powerpoint examples.
  
  
  
  

Descriptive Statistics

• descriptiveStatisticsSlides.pdf. Class slides. Basic descriptive statistics (histograms, sample statistics, qq-plots, boxplots, scatterplots, sample autocorrelations).


• descriptiveStatisticsPowerPoint.pdf. Powerpoint examples
  
  
  
  • descriptiveStatisticsDailyPowerPoint.pdf. Powerpoint examples
  
  
  
  

Constant Expected Return Model

• constantExpectedReturn.pdf. Lecture notes. The constant expected return model of asset returns


• cerModelSlides.pdf. Class slides..


• cerModelPowerPoint.pdf.  Powerpoint examples.

Bootstrapping in CER Model

• bootStrapSlides.pdf.  Class slides.


•  bootStrapPowerPoint.pdf. Powerpoint examples.

Hypothesis Testing in CER Model

• hypothesisTestingCERSlides.pdf. Class slides. hypothesisTestingCERpowerpoint.pdf. Powerpoint examples


• o    hypothesisTestingCER.r. R script file.

Maximum Likelihood Estimation

• mleSlides.pdf. Class slides


• maximumLikelihoodPowerpoint. Powerpoint examples.


• maximumLikelihood.r R script file.

Introduction to Portfolio Theory

• IntroductionPortfolioTheory.pdf. Lecture notes on Introduction to portfolio theory.


• portfolioTheory1Slides.pdf.  Class slides.

Portfolio Theory with Matrix Algebra

• portfolioTheoryMatrix.pdf. Computing efficient portfolios using matrix algebra.


• portfolioTheoryMatrixSlides.pdf. Class slides. Revised  August 9, 2012.

Single Index Model and Linear Regression

• singleIndexSlides.pdf. Class slides. Revised August 14, 2012.


• estimateSiModelSlides.pdf. Class slides. Revised  August 12, 2012.


• singleIndexPowerPoint.pdf

Rolling Analysis of Single Index Model

• rollingSlides.pdf. Class slides. Revised May 31, 2006


• rollingPowerPoint.pdf.  Powerpoint examples. Revised May 31, 2006.

Capital Asset Pricing Model

• capm2.pdf. The capital asset pricing model and some simple tests.


• capmSlides.pdf.  Revised December 3, 2004.

Measuring Portfolio Performance

• performanceSlides.pdf.