##
* Statistical Analysis of Financial Data
*

Chapman Hall, 2020

This book covers the use of statistical analysis and the methods of
data science to model and analyze financial data. The first chapter
is an overview of financial markets, describing the market operations and
using exploratory data analysis to illustrate the nature of financial data.
The software used to obtain the data for the examples in the first chapter and
for all computations and to produce the graphs is R, but discussion of R is
deferred to an appendix to the first chapter, where the basics of R, especially
those most relevant in financial applications, are presented and illustrated.
The appendix also describes how to use R to obtain current financial data from
the internet. Chapter 2 describes the methods of exploratory data analysis,
especially graphical methods, and illustrates them on real financial data.
Chapter 3 covers probability distributions useful in financial analysis,
especially heavy-tailed distributions, and describes methods of computer
simulation of financial data. Chapter 4 covers basic methods of statistical
inference, especially the use of linear models in analysis, and Chapter 5
describes methods of time series with special emphasis on models and methods
applicable to analysis of financial data.

Datasets and code

Comments, hints, and solutions to selected exercises

Errata

I would appreciate
any feedback from readers -- corrections, suggestions, or general
comments.

James Gentle, jgentle@gmu.edu