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 Ex 66-80 Due: 2023-12-28 23:59
5 2024-01-11 09:00-12:30 TC.1.01 Data Exploration and Graphics 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

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 LATEX



File translated from TEX by TTH, version 4.16.