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Course Information

MA 373 Statistical Analysis on Financial Data

Lectures will be from 10 - 10:55 am, 2 - 2:55 pm and 9:00 - 9:55 am in 1104 on Monday, Thursday and Friday respectively; Lab-class is allotted from 3:00 - 5:00 pm on Thursday.

General Information

Instructor :   Dr. Arabin Kumar Dey
Office :   E108
Office Hours :   3:00 -4:00 P.M. on Monday and Friday or by appointment.
Office Phone :   +91- 361- 258 - 2620
Email :   arabin@iitg.ernet.in

Course Text

Course Content

Introduction to statistical packages (R / S-Plus / MATLAB / SAS) and data analysis - financial data, exploratory data analysis tools, kernel density estimation; Basic estimation (Maximum likehood estimate, EM algorithm, Bayesian Estimation, Bootstrap estimates) and testing (NP test, Wald test, LRT, Permutation test, Score test); Random number generator and Monte Carlo samples with application to Insurance; Financial time series analysis - AR, MA, ARMA. ARIMA, ARCH and GARCH, IGARCH models, identification, inference, forecasting, stochastic volatility time series models for term structure of interest rates; Linear regression -least squares estimation, inference, model checking, variable selection; Multivariate data analysis - multivariate normal and inference, Copulae and random simulation, examples of copulae family, fitting Copulas, Monte Carlo simulation with Copulas, dimension reduction techniques, principal component analysis; Risk management - riskmetrics, quantiles, Q-Q plots, quantile estimation with Cornish-Fisher expansion, VaR, expected short fall, time-to-default modeling, extreme value theory (generalized extreme value (GEV), generalized Pareto distribution (GPD); Block Maxima, Peak Over Threshold method, Hill methods).


Prerequisite: This course assumes knowledge of probability and random process.

Grading

Assignments   :     5%
Quizzes   :     10%
Midterm Exam  :     25%
Class-project  :     20%
Final  :     40%

Assignments

Assignments will be provided regularly and will be due in class/lab-class. Purpose of these Assignments is to visualize the statistical tools used in finance through R and SAS.

Quizzes

There will be announced Quizzes during the semester. There will be no make up quizzes or homeworks.

Exams

There will be one midterm exam and one final exam. Dates will be specified once the timetable it out.


Please Note