STAT 482/682: Quantitative Financial Analytics

Course Overview

August 22, 2011

George R. Brown School of Engineering STATISTICS

Overview

• STAT 482/682 Syllabus

• Small group assignments

• Fundamental Analysis or Analytics

• Data Sources

• Lingua franca – Accounting

• Financial Math

Test 2

Analytics

• Can mean very different things

3

Data Sources

• WSJ• Value Line• IBD• SEC EDGAR• Cut and Paste

– MRI– Various sites (see TRU website)

• Yahoo - http://finance.yahoo.com• H-Quote• WRDS

– CRSP– Compustat– CRSP/Computstat Merged

• BKVLPS• EPSPI• MKTVALT 4

Data Sources

• RealTime– Trading platforms– Data vendors

• Tradestation• PC Quote• Quote.com

• Historical

5

Data Sources

Asset Class Timeframe

VC Tick data

Hedge Fund Intraday

Mutual Fund Daily

Stock Weekly

Futures Monthly

Real Estate Quarterly

Economic Data Annual

ETF’s

F/X

6

Why use WRDS?

CCitigroup 70519 1986-20101231

CChrysler 11260 1925-19981112

LEH Lehman 80599 1994-20080917

BSC BearStearns 68304 1985-20080530

GM GenMotors 12079 1925-20090601MTLQQ 12079 MOTORS LIQUIDATION CO

GM 12369 11/18/10-EOY

J, XON, XOM, etc. 12060

7

Investments

8

The Process

• Investment analysis

• Finance

• Valuation

• Enterprise exchange

• Capital markets

• Forecasting

• Dealing with uncertainty or risk

9

BRKA 2009 10-k

• Need a little vocabulary

10

Accounting

11

Financial Math

• Time Value of Money

• Return calculation

• Stochastic considerations

12