Spring Quarter 2012

Business 41202: Analysis of Financial Time Series

Instructor: Ruey S. Tsay


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

Bus 41202-01: Fridays 8:30 am to 11:30 am at Room C02, Harper Center
Bus 41202-85: Saturdays 9:00 am to 12:00 noon at Room 408, Gleacher Center

Teaching Assistant:  Mr. Samir Warty
e-mail: swarty@chicagobooth.edu
(e-mail is the easiest way to contact TA)

Review Sessions
BS41202-01: Wednesdays 12:00 noon to 1:00 pm at C02, Harper Center. (Starts from Week 2.)
BS41202-85: Saturdays 12:10 pm to 1:00 pm at Room 408, Gleacher Center.

Syllabus of the course.

Course materials

Text: Analysis of Financial Time Series, 3rd Edition
          Ruey S. Tsay, Wiley, 2010.
          ISBN: 0-470-41435-4

Data sets:
or additional datasets will be posted for lectures and homework assignments.

Lecture Notes:  posted a week before lecture. (Data sets will be updated)
>> Print a copy of the lecture notes before class. <<
Week 1: Lecture 0 and Lecture 1 & Data sets used: d-aapl0211.txt, d-ibm0110.txt, d-aapl0009.txt, m-ibm6708.txt,
m-tb3ms.txt, m-tb6ms.txt, d-useu.txt, q-ko-earns8309.txt, norwegianfire.txt

Week 2: Lecture & Data sets used: dgnp82.txt, m-unrate.txt (include 2011 data), d-ibmvwew6202.txt, q-gdpc96.txt

Week 3: Lecture & Data sets used: m-hstarts-5912.txt, q-earn-jnj.txt, q-earn-fdx.txt, w-gs1n36299.txt

Week 4: Lecture & Data sets used: m-intc7303.txt, sp500.txt

Week 5: Lecture & Data set used: m-ibm2609.txt

Week 6: Lecture & Data set used: download directly using quantmod.

Week 7: Lecture & Data sets used: m-ibm6708.txt, ibm91-ads.txt, ibm91-adsx.txt, m-gmsp6708.txt

Week 8: Lecture ( A quick introduction of continuous-time models; move on to lecture 9, please print week 9 lecture too.)

Week 9: Lecture & Data set: d-ibmln98.txt supplement: portfolio

Week 10: Lecture & Data sets used: d-bhp0206.txt, d-vale0206.txt , q-gdpun.txt

The main package used is R, which is free from R-Project for Statistical Computing.
The most recent version of R is R2.14.1
The following packages are needed in R:
(fBasics, fGarch, quantmod, fUtilities, fUnitRoots, timeSeries, nnet, evir, urca, mAr)
[In fact, you may want to install the complete package Rmetrics. This can be done in R using
the following two commands:

install.Rmetrics() ]

[* Students may use other packages or programs if they prefer. *]

R Installation:

Instructions for download R:
   1. Download R here. [Click CRAN to select a mirror site. A web site close to you.]

Instructions for running R on PC will be demonstrated in class.

R commands used in lectures: (To be updated weekly)
Week 1: Rcommands_lec1.txt
Week 2: Rcommands_lec2.txt
Week 3: Rcommands_lec3.txt
Week 4: Rcommands_lec4.txt
Week 5: Rcommands_lec5.txt
Week 6: Rcommands_lec6.txt
Week 7: Rcommands_lec7.txt
Week 8: Rcommands_lec8.txt
Week 9: Rcommends_lec9.txt
Week 10: Rcommands_lec10.txt

Homework :
Assignment before class: Read Chapter 1 of the textbook.
HW1: Data sets used: d-axp3dx-0111.txt, m-ge3dx-4011.txt , d-jpus-0711.txt , d-usuk-0711.txt
Solutions & R-commands used.
HW2: Data sets used: q-gnp-4711.txt, m-ge3dx-4011.txt (as in HW#1), d-vix-0211.txt
Solutions & R-commands used.
HW3: Data sets used: m-dec125910-6111.txt, m-aaa-1911.txt, m-baa-1911.txt, q-jnj-earns-9211.txt
Solutions & R-commands used.
HW4: Data sets used: m-dec125910-6111.txt (see HW#3), m-kovw-5111.txt, d-usuk-0711.txt
Solutions & R-commands used.
HW5: Data sets used: m-ibmsp-5111.txt, taq-abtdec01t10-2011.txt
Solutions & R-commands used.
HW6: Date sets used.
Solutions & R-commands used.

Office hour : (a) Wednesday: 10:30 am to 11:30 am (Harper center Rm 455)
                      (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 4 (Friday)
                          Weekend session: May 5
                Lecture after the exam.
Final Exam: Exam week
               Campus:   Friday, June 8, 8:00 am to 11:00 am
               Evening:   Saturday, June 9, 9:00 am to 12:00 noon.
               Open book and notes.
>> Arrangement will be made for graduating students <<]

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

Chicagobooth mandates a maximum class grade point average of 3.33.
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://wrds.wharton.upenn.edu
(b) St Louis Fed at http://research.stlouisfed.org/fred2/

Additional R scripts:
0. Moving average plot: ma.R
1. Forecasts with specified forecast origin: fore.R & forecast plot: foreplot.R
2. Recursive out-of-sample forecasts: backtest.R
3. To estimate an IGARCH model: Igarch.R & GARCH-M program: garchM.R
4. Moving window for volatility calculation: mvwindow.R
5. Yang and Zhang's methof: yz.R

6. Recursive out-of-sample nnet forecasts: backnnet.R
7. Compute volatility of a given GARCH11 model: garch11v.R
(including IGARCH(1,1) model for RiskMetrics).
8. Multivariate Ljung-Box statistics: mq.R
9. Co-integration test:
(Use urca package)
10. ACD estimation: acd.R
11. Volatility plot: volplot.R
12. High-frequency intraday log returns: hfrtn.R
13. High-frequency intraday number of transactions: hfntra.R
14. High-frequency price change and duration: hfchg.R
15. Compute VaR based on traditional EVT estimates: evtVaR.R
16. Exponentially weighted voalitlity matrices: EWMAvol.R
17. For VAR scripts, see my teaching web page for MTS.
18. Risk measure: RMeasure.R


Mid-term: Exam and Solutions

Final Exam: Examand Solutions
(1) Campus: June 8, 8:00 am to 11:00 am. Room C02
(2) Weekend: June 9, 9:00 am to 12:00 noon, Gleacher Room 408

Old exams :     

Year 2010: midterm, and solutions  
          Final exam, and solutions

Year 2011: midterm and solutions  
          Final exam and solutions