Lecture slides in PDF format: Spring 2013
Lecture 1
Lecture 2
Lecture 3
Lecture 4
Lecture 6and7
Lecture 8
Project 1
Data for Project 1
Project 2
Final Assignment
Lectures slides in PDF format: Spring 2011
Lecture 1
Lecture 2
Lecture 3
Lecture 4
Lecture 5
Lecture 6
Lecture 7
Lecture 8
Lecture 9
Lecture 10
Lecture 11 part a
Lecture 11 part b
Heavy tails for price returns
Gopikrishnan
et. al. ,1999, Price Fluctuations and market activity
Plerou, V., and E. Stanley, 1988, Stock return distributions: Tests of scaling and universality from three distinct stock markets
Hill, B.M., 1975,
A simple general approach to inference about the tail of a distribution
Factor analysis, PCA, random matrices
Plerou, V., et. al. , 1999
Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series
Laloux, et. al., 2000,
Random Matrix Theory and Financial Correlations
Bai and NG, 2002
Determining the number of factors in approximate factor models
Harding, M., 2007,
Explaining the Single Factor Bias of Arbitrage Pricing
Models in Finite Samples
Litterman R. and J. Scheinkman, 1991,
Common Factors Affecting Bond Returns
Soto, G.M., 2004,
Using Principal Component Analysis to Explain Term Structure Movements:
Performance and Stability
Avellaneda, M., K. Scherer 2002,
All for One and One for All: a Principal Components Analysis of the Latin American Brady Bond Market from 1994 to 2000
Lopez-Alonso, J.M. and J. Alda,2007,
Correlations in finance: a statistical approach.
Active Portfolio Management
Ding, Zuaxhin, 2010 The Fundamental Law of Active Managment: Time Series Dynamics and Cross-Sectional Properties
Lo, Andrew and Pankaj N. Patel, 2008
130/30: The New Long-Only
Avellaneda, M. and Jeong Lee, 2010, Statistical Arbitrage in the U.S. Equities Market
Assignment 1 (2011)
Equities Data (1/2009 to 1/2010)
Assignment 1
Date due: Wednesday, February 23.
Assignment 2 (2011)
Sample Portfolio
Assignment 2
Date due: Friday, March 11.
Final Project (2011)
Date due: Tuesday, May 10.