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A Course on Statistics for Finance

A Course on Statistics for Finance

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  • ISBN:9781439892541
  • Editorial: Crc Press Inc.
  • Fecha de la edición:
  • Encuadernación:
  • Nº Pág.:269
  • Idiomas:Ingles,Inglés

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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.

INTRODUCTORY CONCEPTS AND DEFINITIONS: Review of Basic Statistics. Stock Price Series and Rates of Return. Several Stocks and Their Rates of Return. REGRESSION: Simple Linear Regression; CAPM and Beta. Multiple Regression and Market Models. PORTFOLIO ANALYSIS: Mean-Variance Portfolio Analysis. Utility-Based Portfolio Analysis. TIME SERIES ANALYSIS: Introduction to Time Series Analysis. Regime Switching Models. Appendices. Index.

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