George R Brown School of Engineering STATISTICS STAT

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 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 • Real. Time – 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? C Citigroup 70519 1986 -20101231 C Chrysler 11260 1925 -19981112 LEH Lehman 80599 1994 -20080917 BSC Bear. Stearns 68304 1985 -20080530 GM Gen. Motors 12079 1925 -20090601 MTLQQ 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