Introduction of R for Statistical Finance and Data Analysis
主 题: Introduction of R for Statistical Finance and Data Analysis
报告人: Prof Jianhua Huang （Texas A
时 间: 2012-06-01 14:00-17:00
地 点: 理科一号楼1418
R is a powerful and flexible statistical language and environment for statistical analysis and graphics. It is free, open source, and runs under most operating systems. R becomes an increasing important and widely used tool for applied statistical modeling. There are thousands of contributed packages available in R to perform a great variety of statistical and graphical procedures. New statistical methods are often available first in R. In particular, R is becoming a powerful platform for empirical finance and financial data analysis.
This three-hour lecture will give a quick introduction to R and its application in empirical finance. The lecture contains two parts. In the first part, I will introduce students to the basics of using R for statistical programming, computation, graphics, and modeling. The students who have prior knowledge of R can safely skip this part. In the second part, I will use an example to show the use of R in empirical finance. I will discuss how to use R to fit copula models of financial return data and calculate the Value-at-Risk for portfolio returns. Students are encouraged to bring their laptop computers and experiment with some R example code during the lecture. R can be downloaded from http://www.r-project.org/. I will use the following R packages: zoo, tseries, copula. It would be helpful if students have installed these packages in their laptop.
Dr. Jianhua Huang is a professor in Department of Statistics at Texas A