Book description
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.
Table of contents
- Preliminaries
- Preface
- About the Author
-
Part I Introductory Concepts and Definitions
-
Chapter 1 Review of Basic Statistics
- 1.1 What Is Statistics?
- 1.2 Characterizing Data
- 1.3 Measures of Central Tendency
- 1.4 Measures of Variability
- 1.5 Higher Moments
- 1.6 Summarizing Distributions
- 1.7 Bivariate Data
- 1.8 Three Variables
- 1.9 Two-Way Tables
- 1.10 Summary
- 1.11 Chapter Exercises
- 1.12 Bibliography
- Chapter 2 Stock Price Series and Rates of Return
- Chapter 3 Several Stocks and Their Rates of Return
-
Chapter 1 Review of Basic Statistics
-
Part II Regression
-
Chapter 4 Simple Linear Regression; CAPM and Beta
- 4.1 Introduction
- 4.2 Simple Linear Regression
- 4.3 Estimation
- 4.4 Inference Concerning the Slope
- 4.5 Testing Equality of Slopes of Two Lines through the Origin
- 4.6 Linear Parametric Functions
- 4.7 Variances Dependent upon X *
- 4.8 A Financial Application: CAPM and “Beta”
- 4.9 Slope and Intercept
- 4.10 Appendix 4A: Optimality of the Least Squares Estimator
- 4.11 Summary
- 4.12 Chapter Exercises
- 4.13 Bibliography
- 4.14 Further Reading
- Chapter 5 Multiple Regression and Market Models
-
Chapter 4 Simple Linear Regression; CAPM and Beta
-
Part III Portfolio Analysis
-
Chapter 6 Mean-Variance Portfolio Analysis
- 6.1 Introduction
- 6.2 Two Stocks
- 6.3 Three Stocks
- 6.4 m Stocks
- 6.5 m Stocks and a Risk-Free Asset
- 6.6 Value-at-Risk
- 6.7 Selling Short
- 6.8 Market Models and Beta
- 6.9 Summary
- 6.10 Chapter Exercises
- 6.11 Appendix 6A: Some Results in Terms of Vectors and Matrices (Optional)*
- 6.12 Appendix 6B: Some Results for the Family of Normal Distributions
- 6.13 Bibliography
- 6.14 Further Reading
- Chapter 7 Utility-Based Portfolio Analysis
-
Chapter 6 Mean-Variance Portfolio Analysis
-
Part IV Time Series Analysis
-
Chapter 8 Introduction to Time Series Analysis
- 8.1 Introduction
- 8.2 Control Charts
- 8.3 Moving Averages
- 8.4 Need for Modeling
- 8.5 Trend, Seasonality, and Randomness
- 8.6 Models with Lagged Variables
- 8.7 Moving-Average Models
- 8.8 Identification of ARIMA Models
- 8.9 Seasonal Data
- 8.10 Dynamic Regression Models
- 8.11 Simultaneous Equations Models
- 8.12 Appendix 8A: Growth Rates and Rates of Return
- 8.13 Appendix 8B: Prediction after Data Transformation
- 8.14 Appendix 8C: Representation of Time Series
- 8.15 Summary
- 8.16 Chapter Exercises
- 8.17 Bibliography
- 8.18 Further Reading
- Chapter 9 Regime Switching Models
-
Chapter 8 Introduction to Time Series Analysis
- Appendix A Vectors and Matrices
- Appendix B Normal Distributions
- Appendix C Lagrange Multipliers
- Appendix D Abbreviations and Symbols
Product information
- Title: A Course on Statistics for Finance
- Author(s):
- Release date: December 2012
- Publisher(s): Chapman and Hall/CRC
- ISBN: 9781439892558
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