STAT 482/682: Quantitative Financial Analytics
description
Transcript of STAT 482/682: Quantitative Financial Analytics
STAT 482/682: Quantitative Financial Analytics
Course Overview
August 22, 2011
George R. Brown School of Engineering STATISTICS
Overview
• STAT 482/682 Syllabus
• Small group assignments
• Fundamental Analysis or Analytics
• Data Sources
• Lingua franca – Accounting
• Financial Math
Test 2
Analytics
• Can mean very different things
3
Data Sources
• WSJ• Value Line• IBD• SEC EDGAR• Cut and Paste
– MRI– Various sites (see TRU website)
• Yahoo - http://finance.yahoo.com• H-Quote• WRDS
– CRSP– Compustat– CRSP/Computstat Merged
• BKVLPS• EPSPI• MKTVALT 4
Data Sources
• RealTime– Trading platforms– Data vendors
• Tradestation• PC Quote• Quote.com
• Historical
5
Data Sources
Asset Class Timeframe
VC Tick data
Hedge Fund Intraday
Mutual Fund Daily
Stock Weekly
Futures Monthly
Real Estate Quarterly
Economic Data Annual
ETF’s
F/X
6
Why use WRDS?
CCitigroup 70519 1986-20101231
CChrysler 11260 1925-19981112
LEH Lehman 80599 1994-20080917
BSC BearStearns 68304 1985-20080530
GM GenMotors 12079 1925-20090601MTLQQ 12079 MOTORS LIQUIDATION CO
GM 12369 11/18/10-EOY
J, XON, XOM, etc. 12060
7
Investments
8
The Process
• Investment analysis
• Finance
• Valuation
• Enterprise exchange
• Capital markets
• Forecasting
• Dealing with uncertainty or risk
9
BRKA 2009 10-k
• Need a little vocabulary
10
Accounting
11
Financial Math
• Time Value of Money
• Return calculation
• Stochastic considerations
12