CSI 779 / STAT 789
Topics in Computational Statistics:
Projects in Analysis of Financial Data
Spring, 2002
Taught as a reading course.
Instructor:
James
Gentle; email: jgentle@gmu.edu
This course will consist of data analysis projects on the two topics:
- movements of the price of a stock in the 12-month period following
a significant decline in the price of the stock.
- value at expiry of stock options compared to the market price
of the option at various times prior to expiry.
Both projects involve open-ended questions of definitions and methodology.
Analysis paralysis will not be acceptable in this course;
work following well-reasoned approaches is required.
Stock price movements
We need to define "significant" price decline.
The definition and the conclusions of the study may depend on
various characteristics of the stock, such as sector, price history,
and so on. They may also depend on external events related to the
price decline.
The first step is to identify which factors will be included in the
study and to determine how these factors are to be measured or categorized.
At least in the first phase of the project, data will be obtained from
Yahoo.
Option prices/values
At least in the first phase of the project, data will be obtained from
E*Trade.