** 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.