Analyzing Financial and Economic Data with R

Analyzing Financial and Economic Data with R
Author: Marcelo S Perlin
Publisher:
Total Pages: 494
Release: 2020-02-08
Genre:
ISBN: 9781710627312

book introduces the reader to the use of R and RStudio as a platform for analyzing financial and economic data. The book covers all necessary knowledge for using R, from its installation in your computer to the organization and development of scripts. For every chapter, the book presents practical and replicable examples of R code, providing context and facilitating the learning process. This is what you'll learn from this book: Using R and RStudio: In chapter 01 we will discuss the use of R as a programming platform designed to solve data-related problems in finance and economics. In chapter 02 we will explore basic commands and many functionalities of R and RStudio that will increase your productivity. Importing financial and economic data: In chapters 04 and 05 we will learn to import data from local files, such as an Excel spreadsheet, or the internet, using specialized packages that can download financial and economic data such as stock prices, economic indices, the US yield curve, corporate financial statements, and many others. Cleaning, structuring and analyzing the data with R: In chapters 06 and 07 we will concentrate our study on the ecosystem of basic and advanced classes of objects within R. We will learn to manipulate objects such as numeric vectors, dates and whole tables. In chapters 08 and 09 we'll study to use the programming tools to solve data-related problems such as cleaning and structuring messy data. In chapter 11 we will learn applications of the most common econometric models used in finance and economics including linear regression, generalized linear model, Arima model and others. Creating visual analysis of data: In chapter 10 we'll learn to use functions from package ggplot2 to create clever visualizations of our datasets, including the most popular applications in finance and economics, time series and statistical plots. Reporting your results: In chapter 12 we will see how to report our data analysis using specialized packages and the RMarkdown technology. Includes the topic of presenting and exporting tables, figure and models to a written report. Writing better and faster code: In the last chapter of the book we discuss best programming practices with R. We will look at how to profile code and search for bottlenecks, and improving execution time with caching strategies using package memoise, C++ code with Rcpp and parallel computing with furrr. All the material used in the book, including code examples separated by chapters, slides and exercises is publicly available on the Internet and distributed with a R package called afedR. It includes data files and several functions that can make it easier to run the examples of the book. If you plan to write some code as you read the book, this package will greatly help your journey. This book is recommended for researchers and students interested in learning how to use R. No prior knowledge of programming, finance or economics is required to take advantage of this book. After finishing, the reader will have enough knowledge to develop their own scripts autonomously, producing academic documents or data analysis for public and private institutions.

An Introduction to Analysis of Financial Data with R

An Introduction to Analysis of Financial Data with R
Author: Ruey S. Tsay
Publisher: John Wiley & Sons
Total Pages: 388
Release: 2014-08-21
Genre: Business & Economics
ISBN: 1119013461

A complete set of statistical tools for beginning financial analysts from a leading authority Written by one of the leading experts on the topic, An Introduction to Analysis of Financial Data with R explores basic concepts of visualization of financial data. Through a fundamental balance between theory and applications, the book supplies readers with an accessible approach to financial econometric models and their applications to real-world empirical research. The author supplies a hands-on introduction to the analysis of financial data using the freely available R software package and case studies to illustrate actual implementations of the discussed methods. The book begins with the basics of financial data, discussing their summary statistics and related visualization methods. Subsequent chapters explore basic time series analysis and simple econometric models for business, finance, and economics as well as related topics including: Linear time series analysis, with coverage of exponential smoothing for forecasting and methods for model comparison Different approaches to calculating asset volatility and various volatility models High-frequency financial data and simple models for price changes, trading intensity, and realized volatility Quantitative methods for risk management, including value at risk and conditional value at risk Econometric and statistical methods for risk assessment based on extreme value theory and quantile regression Throughout the book, the visual nature of the topic is showcased through graphical representations in R, and two detailed case studies demonstrate the relevance of statistics in finance. A related website features additional data sets and R scripts so readers can create their own simulations and test their comprehension of the presented techniques. An Introduction to Analysis of Financial Data with R is an excellent book for introductory courses on time series and business statistics at the upper-undergraduate and graduate level. The book is also an excellent resource for researchers and practitioners in the fields of business, finance, and economics who would like to enhance their understanding of financial data and today's financial markets.

Analyzing Financial Data and Implementing Financial Models Using R

Analyzing Financial Data and Implementing Financial Models Using R
Author: Clifford S. Ang
Publisher: Springer Nature
Total Pages: 465
Release: 2021-06-23
Genre: Business & Economics
ISBN: 3030641554

This advanced undergraduate/graduate textbook teaches students in finance and economics how to use R to analyse financial data and implement financial models. It demonstrates how to take publically available data and manipulate, implement models and generate outputs typical for particular analyses. A wide spectrum of timely and practical issues in financial modelling are covered including return and risk measurement, portfolio management, option pricing and fixed income analysis. This new edition updates and expands upon the existing material providing updated examples and new chapters on equities, simulation and trading strategies, including machine learnings techniques. Select data sets are available online.

Statistical Analysis of Financial Data in R

Statistical Analysis of Financial Data in R
Author: René Carmona
Publisher: Springer Science & Business Media
Total Pages: 595
Release: 2013-12-13
Genre: Business & Economics
ISBN: 1461487889

Although there are many books on mathematical finance, few deal with the statistical aspects of modern data analysis as applied to financial problems. This textbook fills this gap by addressing some of the most challenging issues facing financial engineers. It shows how sophisticated mathematics and modern statistical techniques can be used in the solutions of concrete financial problems. Concerns of risk management are addressed by the study of extreme values, the fitting of distributions with heavy tails, the computation of values at risk (VaR), and other measures of risk. Principal component analysis (PCA), smoothing, and regression techniques are applied to the construction of yield and forward curves. Time series analysis is applied to the study of temperature options and nonparametric estimation. Nonlinear filtering is applied to Monte Carlo simulations, option pricing and earnings prediction. This textbook is intended for undergraduate students majoring in financial engineering, or graduate students in a Master in finance or MBA program. It is sprinkled with practical examples using market data, and each chapter ends with exercises. Practical examples are solved in the R computing environment. They illustrate problems occurring in the commodity, energy and weather markets, as well as the fixed income, equity and credit markets. The examples, experiments and problem sets are based on the library Rsafd developed for the purpose of the text. The book should help quantitative analysts learn and implement advanced statistical concepts. Also, it will be valuable for researchers wishing to gain experience with financial data, implement and test mathematical theories, and address practical issues that are often ignored or underestimated in academic curricula. This is the new, fully-revised edition to the book Statistical Analysis of Financial Data in S-Plus. René Carmona is the Paul M. Wythes '55 Professor of Engineering and Finance at Princeton University in the department of Operations Research and Financial Engineering, and Director of Graduate Studies of the Bendheim Center for Finance. His publications include over one hundred articles and eight books in probability and statistics. He was elected Fellow of the Institute of Mathematical Statistics in 1984, and of the Society for Industrial and Applied Mathematics in 2010. He is on the editorial board of several peer-reviewed journals and book series. Professor Carmona has developed computer programs for teaching statistics and research in signal analysis and financial engineering. He has worked for many years on energy, the commodity markets and more recently in environmental economics, and he is recognized as a leading researcher and expert in these areas.

Statistics and Data Analysis for Financial Engineering

Statistics and Data Analysis for Financial Engineering
Author: David Ruppert
Publisher: Springer
Total Pages: 736
Release: 2015-04-21
Genre: Business & Economics
ISBN: 1493926144

The new edition of this influential textbook, geared towards graduate or advanced undergraduate students, teaches the statistics necessary for financial engineering. In doing so, it illustrates concepts using financial markets and economic data, R Labs with real-data exercises, and graphical and analytic methods for modeling and diagnosing modeling errors. These methods are critical because financial engineers now have access to enormous quantities of data. To make use of this data, the powerful methods in this book for working with quantitative information, particularly about volatility and risks, are essential. Strengths of this fully-revised edition include major additions to the R code and the advanced topics covered. Individual chapters cover, among other topics, multivariate distributions, copulas, Bayesian computations, risk management, and cointegration. Suggested prerequisites are basic knowledge of statistics and probability, matrices and linear algebra, and calculus. There is an appendix on probability, statistics and linear algebra. Practicing financial engineers will also find this book of interest.

R In Finance And Economics: A Beginner's Guide

R In Finance And Economics: A Beginner's Guide
Author: Abhay Kumar Singh
Publisher: World Scientific Publishing Company
Total Pages: 264
Release: 2016-12-14
Genre: Business & Economics
ISBN: 9813144483

This book provides an introduction to the statistical software R and its application with an empirical approach in finance and economics. It is specifically targeted towards undergraduate and graduate students. It provides beginner-level introduction to R using RStudio and reproducible research examples. It will enable students to use R for data cleaning, data visualization and quantitative model building using statistical methods like linear regression, econometrics (GARCH etc), Copulas, etc. Moreover, the book demonstrates latest research methods with applications featuring linear regression, quantile regression, panel regression, econometrics, dependence modelling, etc. using a range of data sets and examples.

Analysis of Economic Data

Analysis of Economic Data
Author: Gary Koop
Publisher: John Wiley & Sons
Total Pages: 277
Release: 2013-09-23
Genre: Business & Economics
ISBN: 1118472535

Analysis of Economic Data has, over three editions, become firmly established as a successful textbook for students studying data analysis whose primary interest is not in econometrics, statistics or mathematics. It introduces students to basic econometric techniques and shows the reader how to apply these techniques in the context of real-world empirical problems. The book adopts a largely non-mathematical approach relying on verbal and graphical inuition and covers most of the tools used in modern econometrics research. It contains extensive use of real data examples and involves readers in hands-on computer work.

Nonlinear Time Series Analysis of Economic and Financial Data

Nonlinear Time Series Analysis of Economic and Financial Data
Author: Philip Rothman
Publisher: Springer Science & Business Media
Total Pages: 394
Release: 1999-01-31
Genre: Business & Economics
ISBN: 0792383796

Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade. The constant theme throughout this work is that standard linear time series tools leave unexamined and unexploited economically significant features in frequently used data sets. The book comprises original contributions written by specialists in the field, and offers a combination of both applied and methodological papers. It will be useful to both seasoned veterans of nonlinear time series analysis and those searching for an informative panoramic look at front-line developments in the area.

Big Data for Twenty-First-Century Economic Statistics

Big Data for Twenty-First-Century Economic Statistics
Author: Katharine G. Abraham
Publisher: University of Chicago Press
Total Pages: 502
Release: 2022-03-11
Genre: Business & Economics
ISBN: 022680125X

Introduction.Big data for twenty-first-century economic statistics: the future is now /Katharine G. Abraham, Ron S. Jarmin, Brian C. Moyer, and Matthew D. Shapiro --Toward comprehensive use of big data in economic statistics.Reengineering key national economic indicators /Gabriel Ehrlich, John Haltiwanger, Ron S. Jarmin, David Johnson, and Matthew D. Shapiro ;Big data in the US consumer price index: experiences and plans /Crystal G. Konny, Brendan K. Williams, and David M. Friedman ;Improving retail trade data products using alternative data sources /Rebecca J. Hutchinson ;From transaction data to economic statistics: constructing real-time, high-frequency, geographic measures of consumer spending /Aditya Aladangady, Shifrah Aron-Dine, Wendy Dunn, Laura Feiveson, Paul Lengermann, and Claudia Sahm ;Improving the accuracy of economic measurement with multiple data sources: the case of payroll employment data /Tomaz Cajner, Leland D. Crane, Ryan A. Decker, Adrian Hamins-Puertolas, and Christopher Kurz --Uses of big data for classification.Transforming naturally occurring text data into economic statistics: the case of online job vacancy postings /Arthur Turrell, Bradley Speigner, Jyldyz Djumalieva, David Copple, and James Thurgood ;Automating response evaluation for franchising questions on the 2017 economic census /Joseph Staudt, Yifang Wei, Lisa Singh, Shawn Klimek, J. Bradford Jensen, and Andrew Baer ;Using public data to generate industrial classification codes /John Cuffe, Sudip Bhattacharjee, Ugochukwu Etudo, Justin C. Smith, Nevada Basdeo, Nathaniel Burbank, and Shawn R. Roberts --Uses of big data for sectoral measurement.Nowcasting the local economy: using Yelp data to measure economic activity /Edward L. Glaeser, Hyunjin Kim, and Michael Luca ;Unit values for import and export price indexes: a proof of concept /Don A. Fast and Susan E. Fleck ;Quantifying productivity growth in the delivery of important episodes of care within the Medicare program using insurance claims and administrative data /John A. Romley, Abe Dunn, Dana Goldman, and Neeraj Sood ;Valuing housing services in the era of big data: a user cost approach leveraging Zillow microdata /Marina Gindelsky, Jeremy G. Moulton, and Scott A. Wentland --Methodological challenges and advances.Off to the races: a comparison of machine learning and alternative data for predicting economic indicators /Jeffrey C. Chen, Abe Dunn, Kyle Hood, Alexander Driessen, and Andrea Batch ;A machine learning analysis of seasonal and cyclical sales in weekly scanner data /Rishab Guha and Serena Ng ;Estimating the benefits of new products /W. Erwin Diewert and Robert C. Feenstra.

Computational Finance and Financial Econometrics

Computational Finance and Financial Econometrics
Author: Eric Zivot
Publisher: CRC Press
Total Pages: 500
Release: 2017-01-15
Genre:
ISBN: 9781498775779

This book presents mathematical, programming and statistical tools used in the real world analysis and modeling of financial data. The tools are used to model asset returns, measure risk, and construct optimized portfolios using the open source R programming language and Microsoft Excel. The author explains how to build probability models for asset returns, to apply statistical techniques to evaluate if asset returns are normally distributed, to use Monte Carlo simulation and bootstrapping techniques to evaluate statistical models, and to use optimization methods to construct efficient portfolios.