Franklin

A Course on Statistics for Finance / by Stanley L. Sclove.

Author/Creator:
Sclove, Stanley L., author.
Publication:
Boca Raton, FL : Taylor and Francis, an imprint of Chapman and Hall/CRC, [2018].
Format/Description:
Book
1 online resource (276 pages) : illustrations.
Edition:
1st edition
Series:
A Chapman & Hall Book
Status/Location:
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Details

Subjects:
Finance -- Statistical methods.
Investment analysis -- Statistical methods.
Form/Genre:
Electronic books.
Language:
English
System Details:
text file
Summary:
Taking a data-driven approach, A Course on Statistics for Finance presents statistical methods for financial investment analysis. The author introduces regression analysis, time series analysis, and multivariate analysis step by step using models and methods from finance. The book begins with a review of basic statistics, including descriptive statistics, kinds of variables, and types of data sets. It then discusses regression analysis in general terms and in terms of financial investment models, such as the capital asset pricing model and the Fama/French model. It also describes mean-variance portfolio analysis and concludes with a focus on time series analysis. Providing the connection between elementary statistics courses and quantitative finance courses, this text helps both existing and future quants improve their data analysis skills and better understand the modeling process.
Contents:
INTRODUCTORY CONCEPTS AND DEFINITIONS Review of Basic Statistics What Is Statistics?Characterizing DataMeasures of Central TendencyMeasures of VariabilityHigher Moments Summarizing DistributionsBivariate DataThree VariablesTwo-Way Tables
Stock Price Series and Rates of Return IntroductionSharpe RatioValue-at-RiskDistributions for RORs
Several Stocks and Their Rates of Return Introduction Review of Covariance and Correlation Two StocksThree Stocksm Stocks
REGRESSION Simple Linear Regression; CAPM and Beta Introduction Simple Linear RegressionEstimationInference Concerning the Slope Testing Equality of Slopes of Two Lines through the Origin Linear Parametric Functions Variances Dependent upon X A Financial Application: CAPM and "Beta"Slope and Intercept
Multiple Regression and Market Models Multiple Regression Models Market Models Models with Both Numerical and Dummy Explanatory VariablesModel Building
PORTFOLIO ANALYSIS Mean-Variance Portfolio Analysis Introduction Two StocksThree Stocks m Stocks m Stocks and a Risk-Free Asset Value-at-RiskSelling Short Market Models and Beta
Utility-Based Portfolio AnalysisIntroduction Single-Criterion Analysis
TIME SERIES ANALYSIS Introduction to Time Series Analysis Introduction Control Charts Moving AveragesNeed for Modeling Trend, Seasonality, and Randomness Models with Lagged VariablesMoving-Average ModelsIdentification of ARIMA ModelsSeasonal Data Dynamic Regression Models Simultaneous Equations Models
Regime Switching Models Introduction Bull and Bear Markets
Appendix A: Vectors and MatricesAppendix B: Normal DistributionsAppendix C: Lagrange MultipliersAppendix D: Abbreviations and Symbols
Index
A Summary, Exercises, and Bibliography appear at the end of each chapter.
Notes:
Bibliographic Level Mode of Issuance: Monograph
Includes bibliographical references at the end of each chapters.
Description based on online resource; title from PDF title page (ebrary, viewed January 4, 2016).
ISBN:
1-315-37375-0
1-4987-8567-0
1-4398-9254-7
OCLC:
861618456