Spring Quarter 2006

Business 41202: Analysis of Financial Time Series

Instructor: Ruey S. Tsay

ruey.tsay@ChicagoGSB.edu

Phone: 773-702-6750
Fax:   773-702-0458 (Please put my name on the cover page)
HPC: 455

Teaching Assistant:  Mr. David Matteson
e-mail: matteson@uchicago.edu
(e-mail is the easiest way to contact TA)

Review Sessions: 
BS41202-01: Wednesdays 12:00 noon to 1:15 pm Room C04
BS41202-81: Saturdays 12:10 to 12:50 pm Room 303

Syllabus of the course.

Course materials

Text: Analysis of Financial Time Series, 2nd Edition
          Ruey S. Tsay, Wiley, 2005.
          ISBN: 0-471-69074-0

Data sets:
http://gsbwww.uchicago.edu/fac/ruey.tsay/teaching/fts2/
or additional datasets will be posted for lectures and homework assignments.

Lecture Notes:  Will be posted here the week before lecture.
  Week 1: lecture   Revised lecture 
  Week 2: lecture   Data sets used: dgnp82.dat, d-ibmvwew6202.txt, r-gdp05.txt  
  Week 3: lecture   Data sets used:  jnj.dat, w-gs1n3.dat, power6.dat 
  Week 4: lecture   Data sets used: m-intc7303.txt, sp500.dat, m-ibmln.dat
  Week 5: lecture  
  Week 6: lecture  
  Week 7: lecture 
  Week 8: lecture 1, lecture 2  
  Week 9: lecture 1, lecture 2,  data set: q-gdpun.txt 
  Week 10: lecture   Multivariate Ljung-Box statistics: mq 

Computing:

The main packages used are R and S-plus.
(SCA is optional. It is available on all GSB machines.)

R is a free software. The following packages are needed:
(fBasics, fSeries, fExtremes, fOptions, VaR, tseries, nnet, evir)
It also needs Ox with G@RCH to fit various GARCH models.

S-Plus is on the following machines: 4 at HPC and 4 at Gleacher Center.
(Ask Lab assistant to identify the machines.)

Students may use other packages or programs.

R and Ox
   1. Download R here.
   2. Download Ox here.
   3. Download G@RCH here.
   4. A (dated) tutorial of G@RCH.
   5. A corrected version of the garchOxFit function.
(This part is from Prof. K.S. Chan of University of Iowa at
http://www.stat.uiowa.edu/~kchan/S235.htm)

Instructions for download R and G@RCH: G@RCH-info 
(By David Matteson) [For R version 3.4 only.]

Additional information of R with Rmetrics:
Web site for Rmetrics: www.itp.phys.ethz.ch/econophysics/R/
(including some documents and list of commands)

Instructions for running R on PC. R-start  
Demonstration: in class

A list of SCA commands used: scacom.txt
SCA demonstration: scademo 
Example of SCA command file: sca-command.txt

Homework :
Assignment before class: Read Chapter 1 of the textbook.
HW assignment 1:   hw1   
Data sets: (Q1 & Q4) d-basp9505.txt,  (Q2) m-pg3dx7505.txt, (Q3) w-tb3ms.txt 
                 (Q5) d-jpus.txt & d-useu.txt,   (Self study): d-ertsphlv.txt  
 Solution: hw1s 

HW assignment 2: hw2 
Data sets: (Q1) m-dec10.txt, (Q2 & Q5) m-dec1.txt,  (Q3 & Q4) r-gnp05.txt  
 Solution: hw2s 
                 

HW Assignment 3:  hw3 
Data sets: (Q1) w-baa.txt, (Q2) w-ff.txt, (Q3 & Q4) d-dellew0105-wk.txt,
                 (Q5) q-pgeps.txt 
 Solution: hw3s 

HW assignment 4:  hw4  (Due in two weeks)
Data sets: (Q1-Q3) d-bavw9605.txt, (Q4 & Q5) m-aasp6005.txt
  Solution: hw4s 

HW assignment 5: hw5
Data set: (Q1 & Q2) d-geohlc.txt,   Q(3)-Q(5): web page of textbook.
  Solution: hw5s    R-code(#1)  

HW assignment 6:  hw6 
Data set: Q(3)-Q(5): d-gm7205.txt 

Office hour : (a) Wednesdays 1:30 pm to 2:30 pm
                      (b) By appointment
                      (c) E-mail me at any time with questions.
(This is the easiest way to reach me.)

Midterm : Week 6. Open book and notes!
                Date: Campus session, May 5, 2006, 8:30-10:00 am
                          Evening session: May 4, 2006, 6:00-7:30 pm
                Lecture to follow after the exam.
             
              

Final project: due on Week 10
               Campus:    (5:00 pm), June 2, 2006
               Evening:    (6:00 pm), June 1, 2006

Guidelines for final project :  Guidlines  

Grading: 35% midterm + 35% final project + 30% homework,
where the scores of midterm, final project and homework
assignments are normalized to be out of 100.

The GSB mandates a maximum class grade point average of 3.25.
I rank the class based on the final scores using the above grading
formula and pick grade cutoffs so that I can get the highest class
GPA under the constraint.

Additional Web Sites for data:
(a) Wharton WRDS at http://wrdsx.wharton.upenn.edu
(b) St Louis Fed at http://research.stlouisfed.org/fred2/

Feedback: 

Mid-term:  midterm, output, and solutions

Old tests:     
Year 2004: midterm, output, and solutions 
Year 2005: midterm, output, and solutions  
        New:      R output for 2005 Exam