Kurt Hornik: QFin Statistics 1 Winter Semester 2023

Classes

Unit	Date	Time	Location	Topic	Materials	Assignments
								Read Chapter 6 B/M
1	2023-12-01	11:00-14:30	TC.1.01	Numerical Linear Algebra	Slides	Ex 1-5, 8-14, 22, 24, 25, 27, 29, 30	Due: 2023-12-06 23:59	Read Chapter 5 B/M
2	2023-12-07	09:00-12:30	TC.1.01	Random Number Generation	Slides	Ex 15-21, 23, 26, 28, 31-39	Due: 2023-12-13 23:59
3	2023-12-15	09:00-12:30	TC.1.01	Simulation	Slides	Ex 41-44, 47-63	Due: 2023-12-20 23:59
4	2023-12-21	09:00-12:30	TC.1.01	Data Management and Exploration	Transscript	Ex 66-80	Due: 2024-01-05 23:59
5	2024-01-11	09:00-12:30	TC.1.01	Data Exploration and Graphics	Transscript Code	Ex 82-88	Due: 2024-01-17 23:59	Read Labs 1 2 3
6	2024-01-18	09:00-12:30	TC.1.01	Quantmod, Heavy Tails and Copulas	Slides	Ex 89-96, 98-99, 102-103, 107-108, 110-111	Due: 2024-01-24 23:59
7	2024-01-25	10:00-12:00	TC.0.01	Finals
8	2024-02-01	09:00-17:00	online	Presentations

Assignments

Exercises When submitting homework assignments by email, please use the subject ‘Statistics 1 Unit n Team k’, where n is the number of the unit and k is the numer of your team. Submit by email to Edona Gjini <edona.gjini@s.wu.ac.at>, Max Trentini <maximilian.trentini@s.wu.ac.at> and <Kurt.Hornik@wu.ac.at>, and cc all team members. Please use Sweave or knitr, and submit both the PDF and the Rnw/Rmd! Homework and presentation teams:

1	Elmastas, Hrgovic, Peter, Scholz, Sevtsov
2	Curta, Frias Navarrete, Ingerle, Nemeth, Pekarek-Kostka
4	Aria, Boroumand sharifi, Kleshchev, Marafatto, Pavicic
5	Buczek, Gludovatz, Gogberashvili, Miletic, Sobko
6	Filatova, Kosovska, Kutovoi, Nagy (†), Wutti (†)
7	Brabec, Gyenese, Mikos, Pertl, Tusek
8	Carvalho Garcia Viale, Daneva, Kornilakis, Pena Monge, Trnan
9	Battilana, Ivovic, Izbassar, Kapustina, Waraschitz
10	Kozlov, Lin, Strahlhofer, Szalai, Vasic
11	Barta, Gilmutdinov, Makogon, Shramko, Sudera
12	Albert, Krain, Meszaros, Mosiagin, Schramek
13	Costa, Harringer, Jezo, Miederhoff, Velichkov
14	Lazar, Nurlanuly, Plavec, Ramos Silva, Riezanov
15	Galstyan, Lukic (†), O'Hara (†), Romanova, Vero
16	Aliabadi, Badinger, Gurban, Mitterhofer, Titiriga
17	Mihalik, Rodenkirchen, Schmid, Sembera, Ustun
18	Bottlinger, Dubenko, Füreder, Sabouniha (†), Shenevskaia
19	Ciancio, Duchoslav, Fiegl, Hnatova, Zörenyi
20	Arustamyan, Bach Gadelha, Grimus (†), Kieselbach, Shabliienko

Students marked ‘†’ have left the program/course. Presentation groups and teams:

Group	Teams
A	Team 19 (76), Team 6 (95), Team 13 (80), Team 18 (89), Team 7 (111)
B	Team 8 (77), Team 20 (95), Team 11 (78), Team 9 (91), N.N. (109)
C	Team 15 (76), Team 5 (90), Team 1 (46), Team 4 (81), Team 16 (110)
D	Team 17 (77), Team 10 (89), Team 2 (79), Team 14 (82), Team 12 (95)

Teams submit all 5 problems in their group as homeworks, and present "their" problem. Presentation slots:

Time	Team	Pi
09:00-09:20	15	76
09:20-09:40	2	79
09:40-10:00	6	95
10:00-10:20	8	77
10:20-10:40	10	89
11:00-11:20	5	90
11:20-11:40	20	95
11:40-12:00	4	81
12:00-12:20	7	111
12:20-12:40	19	76
13:20-13:40	1	46
13:40-14:00	18	89
14:00-14:20	16	110
14:20-14:40	14	82
15:00-15:20	13	80
15:20-15:40	17	77
15:40-16:00	12	95
16:00-16:20	9	91
16:20-16:40	11	78

Materials

Lecture notes (Numerical linear algebra, simulation, data management and exploration, graphics): PDF Code Lab 1 "How to get Data - An Introduction into quantmod": PDF Code Lab 2 "Exploring Heavy Tails - Pareto and Generalized Pareto Distributions": PDF Code Lab 3 "First steps of multivariate data analysis": PDF Code

Downloads

German credit data: Data Docs; Coffee data; Utilities data.

Literature

W. John Braun and Duncan J. Murdoch: A First Course in Statistical Programming with R. Cambridge University Press ISBN 9781316451090, 2016. DOI:10.1017/CBO9781316451090.

Links

Electronic University Calendar (eVVZ) Setting up R and L^AT_EX

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File translated from T_EX by T_TH, version 4.16.