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STAT 482/682: Quantitative Financial Analytics

George R. Brown School of Engineering STATISTICS. STAT 482/682: Quantitative Financial Analytics. Course Overview August 22, 2011. Overview. STAT 482/682 Syllabus Small group assignments Fundamental Analysis or Analytics Data Sources Lingua franca – Accounting Financial Math.

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STAT 482/682: Quantitative Financial Analytics

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  1. George R. Brown School of Engineering STATISTICS STAT 482/682: Quantitative Financial Analytics Course Overview August 22, 2011

  2. Overview • STAT 482/682 Syllabus • Small group assignments • Fundamental Analysis or Analytics • Data Sources • Lingua franca – Accounting • Financial Math Test

  3. Analytics • Can mean very different things

  4. 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

  5. Data Sources • RealTime • Trading platforms • Data vendors • Tradestation • PC Quote • Quote.com • Historical

  6. Data Sources

  7. Why use WRDS? C Citigroup 70519 1986-20101231 C Chrysler 11260 1925-19981112 LEH Lehman 80599 1994-20080917 BSC BearStearns 68304 1985-20080530 GM GenMotors 12079 1925-20090601 MTLQQ 12079 MOTORS LIQUIDATION CO GM 12369 11/18/10-EOY J, XON, XOM, etc. 12060

  8. Investments

  9. The Process • Investment analysis • Finance • Valuation • Enterprise exchange • Capital markets • Forecasting • Dealing with uncertainty or risk

  10. BRKA 2009 10-k • Need a little vocabulary

  11. Accounting

  12. Financial Math • Time Value of Money • Return calculation • Stochastic considerations

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