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A Course on Statistics for Finance de Stanley L. Sclove

A Course on Statistics for Finance

Autor Stanley L. Sclove
en Limba Engleză Hardback – 6 dec 2012
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.
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Specificații

ISBN-13: 9781439892541
ISBN-10: 1439892547
Pagini: 280
Ilustrații: 4 b/w images and 33 tables
Dimensiuni: 156 x 234 x 23 mm
Greutate: 0.68 kg
Ediția:1
Editura: CRC Press
Colecția Chapman and Hall/CRC
Locul publicării:Boca Raton, United States

Public țintă

Advanced undergraduate and graduate students in an intermediate statistics course; students and practitioners in finance and financial investments analysis.

Cuprins

INTRODUCTORY CONCEPTS AND DEFINITIONS: Review of Basic Statistics. Stock Price Series and Rates of Return. Several Stocks and Their Rates of Return. REGRESSION: Simple Linear Regression; CAPM and Beta. Multiple Regression and Market Models. PORTFOLIO ANALYSIS: Mean-Variance Portfolio Analysis. Utility-Based Portfolio Analysis. TIME SERIES ANALYSIS: Introduction to Time Series Analysis. Regime Switching Models. Appendices. Index.

Notă biografică

Stanley L. Sclove is a professor of statistics in the Department of Information and Decision Sciences of the College of Business Administration at the University of Illinois at Chicago (UIC). His areas of specialization within statistics include multivariate statistical analysis, cluster analysis, time series analysis, and model selection criteria. Dr. Sclove’s research interests include time series segmentation and regime switching via Markov models. He is an officer of the Classification Society and the Section of Risk Analysis of the American Statistical Association.

Recenzii

"… Through numerous examples, the book explains how the theory of RDS can describe the asymptotic and qualitative behavior of systems of random and stochastic differential-difference equations in terms of stability, invariant manifolds and attractors. … provides a variety of RDS for approximating financial models, and studies the stability and optimal control of RDS. The book is useful for graduate students in RDS and mathematical _nance as well as practitioners working in the financial industry."
— Ahmed Hegazi (Mansoura ), Zentralblatt MATH

Descriere

This text presents statistical methods for financial investment analysis. Providing the connection between elementary statistics courses and quantitative finance courses, the book helps both existing and future quants improve their data analysis skills and better understand the modeling process. It incorporates both applied statistics and mathematical statistics and requires no prior background in finance. The author introduces regression analysis, time series analysis, and multivariate analysis step by step using models and methods from finance.