Premium Essay

Computational Finance

In:

Submitted By charlesfeng1994
Words 1322
Pages 6
Bootstrapping Estimates of the CER Model
Econ 424/Amath 540
Eric Zivot
Summer 2012
Updated: July 17, 2012

© Eric Zivot 2006

Monthly Returns on MSFT, SBUX and S&P 500

0.0
-0.4

returns

Returns on Microsoft

Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4

1992

1993

1994

1995

1996

1997

1998

1999

2000

0.0
-0.4

returns

Returns on Starbucks

Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4

1992

1993

1994

1995

1996

1997

1998

1999

2000

-0.15

returns

0.05

Returns on S&P 500

Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4

1992

1993

1994

1995

1996

1997

1998

1999

2000

© Eric Zivot 2006

1

Estimated Standard Errors
> se.muhat = sigmahat.vals/sqrt(nobs)
> rbind(muhat.vals,se.muhat) sbux msft sp500 muhat.vals
0.0277
0.0275
0.01253
se.muhat
0.0135
0.0106
0.00378
> se.sigma2hat = sigma2hat.vals/sqrt(nobs/2)
> rbind(sigma2hat.vals,se.sigma2hat) sbux msft sp500 sigma2hat.vals
0.01845
0.01141
0.00143
se.sigma2hat
0.00261
0.00161
0.00020
> se.sigmahat = sigmahat.vals/sqrt(2*nobs)
> rbind(sigmahat.vals,se.sigmahat) sbux msft sp500 sigmahat.vals
0.1358
0.1068
0.0378
se.sigmahat
0.0096
0.0075
0.0026
© Eric Zivot 2006

R function sample()
# random permutations of the index vector 1:5
> sample(5)
[1] 1 3 2 5 4
> sample(5)
[1] 4 2 3 5 1
# random sample of size 5 from MSFT return with replacement
> sample(MSFT, 5, replace=TRUE)
[1] -0.02904 0.12130 -0.01890 -0.15332 -0.14627
0.02904
0.01890 0.15332 0.14627

© Eric Zivot 2006

2

Brute Force Bootstrap
Same idea as Monte Carlo Simulation but instead of generating random data from an assumed

Similar Documents

Premium Essay

Bes 219

...Introduction This paper will be discussing the information systems and software applications available for use in the accounting, marketing, and human resources departments that work within the constructs of an organization. It will discuss the selected applications, organizational departments, and how they relate to each other. In today’s business environment most if not all businesses rely heavily on computer technology, such as information systems and software applications. Many of these programs have made business faster, more reliable, and much more efficient than in the old days of everything being writen by hand written on paper by a person. Computer based business information systems are not the only form of information system, but keeping with the times computer information systems will be mainly discussed in this essay. A major player in software applications for human resources is PeopleSoft. The PeopleSoft application is designed to help with everyday production, find training tools, and locate documents. It also helps with business performance, and increased productivity due to its many features. The application has a vast number of features and updates including 200 industry specific updates. ("Oracle.com", 2011). Quick books, is a type of business accounting software. Quick books, is mostly used in the small business arena. It has a variety of accounting solutions such as, remote access, remote payroll and outsourcing, online banking and reconciliation...

Words: 291 - Pages: 2

Premium Essay

Slvk

...Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications Computer Applications...

Words: 432 - Pages: 2

Premium Essay

Nt1310 Unit 1 Assignment 1

...Answer the following questions very briefly (3-4 sentences) IN YOUR OWN WORDS. 1. What is crosstalk? How is it minimized in the case to the twisted pair of wire? My responses to this questions will essentially be generated from my own basic understanding of the reading materials that I found in the unit and this is the concept I had from the textbook that I have seen and researched about this topic that interpreted into my own words. so I have tried this two basic element clarification straight to the point which I understood: 1. Crosstalk refers to the picking up of electromagnetic signals from another adjacent wire by electromagnetic reason. 2. While a pair of wires is twisted together, the electromagnetic signals caused by the two wires eliminate each other as these are of opposing polarity. This serves to decrease the sensitivity of interruption to the nearby wires. 2. Why are two separate frequencies used for uplink and downlink transmission in case of satellite communication? my answer to this question as follows: Two part groups frequencies are used so that one cannot contend with the other and full duplex communication is possible. Also, the different idea is that the Power needed to transfer a signal is equal to the frequency of the signal. Plus more power demand more would be the power of the system. As there are constraints on the load that can be carried with the satellite, mainly downlinking frequency is lower than the up linking one. 3. What is the...

Words: 1040 - Pages: 5

Free Essay

Current Events in Buinsess

...Current Events in Business Research Proper research in business is vital to its success. This paper will discuss how well the article Computer Modelling and Simulation of Bakeries' Production Planning written and researched by Walid Barakat Hussein, Florian Mitzscherling Hecker, Thomas Martin Becker published in 2009. The article summarizes the efforts of bakeries selling ten different products using the ARENA computer simulation system to streamline production and prevent “bottle-necking”. The first step of effective business research is stating a clear purpose. The article starts out with an introduction that states businesses past troubles with understanding the “sequence of activities required to complete a process-whether fulfilling an order, producing a part, or servicing a customer,” (par 1) which is what the ARENA computer system is supposed to help with. Later in the introduction: “This research work presents a methodology of modeling and simulation of production system using Arena software simulation tool, in order to deal efficiently with the production procedures and processes, and propose an appropriate system structure that will operate according to given specifications,” (par 3). The introduction stated a very clear purpose, which helps those reading the article as well as following the first step of proper business research. The research process was thoroughly detailed and the design was thoroughly planned. In the method and case study section on the article...

Words: 496 - Pages: 2

Free Essay

Nanoscale Optics

...44325-3909, USA ABSTRACT Several classes of computational methods are available for computer simulation of electromagnetic wave propagation and scattering at optical frequencies: Discrete Dipole Approximation, the T-matrix − Extended Boundary Condition methods, the Multiple Multipole Method, Finite Difference (FD) and Finite Element (FE) methods in the time and frequency domain, and others. The paper briefly reviews the relative advantages and disadvantages of these simulation tools and contributes to the development of FD methods. One powerful tool – FE analysis − is applied to optimization of plasmon-enhanced AFM tips in apertureless near-field optical microscopy. Another tool is a new FD calculus of “Flexible Local Approximation MEthods” (FLAME). In this calculus, any desirable local approximations (e.g. scalar and vector spherical harmonics, Bessel functions, plane waves, etc.) are seamlessly incorporated into FD schemes. The notorious ‘staircase’ effect for slanted and curved boundaries on a Cartesian grid is in many cases eliminated – not because the boundary is approximated geometrically on a fine grid but because the solution is approximated algebraically by suitable basis functions. Illustrative examples include problems with plasmon nanoparticles and a photonic crystal with a waveguide bend; FLAME achieves orders of magnitude higher accuracy than the standard FD methods, and even than FEM. Keywords: wave propagation, computational methods, flexible approximation, photonic...

Words: 5791 - Pages: 24

Free Essay

Call for Papers Ijaet

...receive very high publicity and acquire very high reputation. ISSN: 2231-1963 Published: bi- monthly; Est. 2011 Individual Online Access and E-Journal Access: Open Access Institution Access: Open Access coverage Topics of interest include but are not limited to the following: Ad hoc & sensor networks, Adaptive applications, Aeronautical Engineering, Aerospace Engineering, Agricultural Engineering, AI and Image Recognition, Allied engineering materials, Applied mechanics, Architecture & Planning, Artificial intelligence, Audio Engineering, Automation and Mobile Robots, Automotive Engineering, Bioengineering, Bioinformatics, Biomedical Engineering, Broadband Communications, Chemical Engineering, Civil Engineering, Computational engineering, Computational Intelligence, Computer Networks, Computer Science Engineering, Computer Software / Hardware,...

Words: 334 - Pages: 2

Free Essay

Computer

...Search Results Siwes Report For Computer Science Students Free Essays www.studymode.com/.../siwes-report-for-computer-science-students-pag... Free Essays on Siwes Report For Computer Science Students for students. Use our papers to help you with yours. SIWES Project in Computer Science | forever evrything-here-10.blogspot.com/.../siwes-project-in-computer-science.ht... Apr 1, 2012 - SIWES refers to the employment of students nearing ... a compulsory subject offered by every computer science student in the 2nd ... The report 'IT REPORT(COMPUTER SCIENCE) BY AJAYI ADEBAYO ... en.netlog.com/ajayiabdullah/blog/blogid=24267525 May 29, 2013 - STUDENTS' INDUSTRIAL WORK EXPERIENCE SCHEME (SIWES) REPORT ON INDUSTRIAL TRAINING CARRIED OUT AT F.C.D.A, AREA ... Computer Science Siwes Report on Time and Attendance ... www.termpaperwarehouse.com › Computers and Technology Aug 18, 2012 - Read this essay on Computer Science Siwes Report on Time and Attendance ... The Student Industrial Work-Experience Scheme (SIWES) is a ... A TECHNICAL REPORT ON STUDENTS INDUSTRIAL ... www.academia.edu/.../A_TECHNICAL_REPORT_ON_ST... Academia.edu I also gained experience in other fields of science, engineering, and project management. ... The students Industrial Work Experience Scheme (SIWES) is a skill training ..... computers, but not to actually be logged on as a user of that computer. Student industrial work Experience Scheme (SIWES) Report ... www.academia.edu/.../Student_industrial_work_Experienc...

Words: 401 - Pages: 2

Premium Essay

Personal Essay

...PERSONAL ESSAY Growing up in a third class country, I have always been interested in exploring much about the first class countries like America by acquiring knowledge through their universities since America is well-known to be a leader country when it comes to technologies and since they’ve got what it takes like facilities and infrastructure that will aid and help broaden up my knowledge in the computer science field. We are in the 21st century and most work or tasks are done and completed with the use of computers, it’s so amazing to see someone just at the comfort of his or her home behind the computer communicating with someone across a long distance, making research and exploring the world. I am interested in attending Liberty University for an undergraduate study in the computer science field. Computer science is a field suited to using the computer to develop software. I would like to study computer science and master in that sector to be able to build up software and computer systems that will be of a benefit to my country and the Africa continent as a whole. My long term goals are to enter the computer science field to be able to develop software, operating systems that will make the teaching and learning of computer science will be ease for the future generation. I applying to Liberty University, I recognize America’s strength in computer science and the university’s strength in the computer science field. With my deep rooted interest in studying computer science in...

Words: 291 - Pages: 2

Free Essay

Lab Phen

...hePhylogenetic Trees: Diagraming the Evolutionary History of a Group of Organisms Adapted from lab by Dr. Rebecca Irwin and “Constructing Cladogram” from Biology: The Dynamic Science, 2nd edition by Russell, Hertz, and McMillan. **It would greatly benefit you to read the “Constructing Cladogram” example in your text on pg. 514 -515 Goals: 1. Understand how to interpret a phylogeny 2. Understand how to construct a phylogenetic tree using cladistics Background Information: A phylogeny represents the evolutionary history of a group of organisms. Phylogenies are illustrated as phylogenetic trees. Phylogenetic trees are hypotheses that identify likely relationships among species or higher taxonomic groups (Kingdom, Phylum, Class, Order, Family, Genus). Like all hypotheses, they are constantly revised by scientist as they gather new data. Look at the phylogeny of vertebrates provided for you on your lab bench (and also on blackboard in a separate file). Notice that some of the lines are dashed representing a part of the phylogeny where there is not enough information to get a good idea about the evolutionary history of that particular group and how they fit into the overall phylogeny. Phylogenetic trees are often drawn along a time line and can be depicted either vertically or horizontally. If the phylogeny is vertical (like the example provided), the most ancient organisms and evolutionary events are at the bottom of the tree. Some phylogenies have explicit time scales meaning...

Words: 1193 - Pages: 5

Free Essay

Sentiment Analysis in Emotional

...eKNOW 2014 : The Sixth International Conference on Information, Process, and Knowledge Management Malay Semantic Text Processing Engine Benjamin Chu Min Xian MIMOS Berhad Kuala Lumpur, Malaysia mx.chu@mimos.my Liu Qiang MIMOS Berhad Kuala Lumpur, Malaysia qiang.liu@mimos.my Rohana Mahmud University of Malaya Kuala Lumpur, Malaysia rohanamahmud@um.edu.my Arun Anand Sadanandan MIMOS Berhad Kuala Lumpur, Malaysia arun.anand@mimos.my Kow Weng Onn MIMOS Berhad Kuala Lumpur, Malaysia kwonn@mimos.my Dickson Lukose MIMOS Berhad Kuala Lumpur, Malaysia dickson.lukose@mimos.my Abstract—Semantic Text Understanding is a process that transforms text into conceptual representation. In this paper, we propose a Text Understanding System for Malay Language. The system comprises of two components: Morphology Analyzer and Semantic Text Interpreter. Some initial evaluation experiments were conducted on these components to gain explanatory insights into its performance. All the current text processing systems we reviewed are focused on preliminary algorithms and rules associated to lexical, morphological and syntax analysis. In our paper, we developed an integrated approach for a text understanding system that has the ability to represent the semantics of the text. Keywords-Natural Language Understanding; Morphology Interpretation. Processing; Semantic Analysis; Semantic Text Text I. INTRODUCTION The development of fast algorithms to understand and exploit the...

Words: 3718 - Pages: 15

Premium Essay

Rabbits and Wolves Lab

...“Rabbits and Wolves” Introduction I will be conducting a computer simulation called “Rabbits and Wolves”. In this experiment I will be interaction with a simple forest ecosystem model that will simply take into account three organisms: rabbits, wolves, and grass. As defined by “Environmental Science- 14th Edition”, an ecosystem is “a set of organisms within a defined area or volume that interact with one another and with their environment of nonliving matter and energy.” I will be using the computer simulation to alter the interactions of the organisms in the ecosystem to see what changes occur. Based on mathematical formulas and probability of certain events occurring, the model predicts the changes in the populations of the three organisms. I will be able to change different variables, such as the starting number of organisms, the reproduction rate, the food consumption rate, the growth rate, and more. I will be able to analyze the data I gain from this simulation to observe how changes in an ecosystem can alter the organisms that live in the ecosystem. Objectives 1. To view and interact with a simple scientific computer model. 2. To determine how simple changes in populations of one organism will effect populations of organisms in the same system. 3. To use a computer model to complete objective 2. Hypothesis I believe that allowing a greater number of rabbits in the beginning of the simulation will allow the rabbits to out-populate the wolves to a very large...

Words: 974 - Pages: 4

Free Essay

Rabbit and Wolves Lab

...“Rabbits and wolves” Introduction The computer simulation named “Rabbits and wolves” is about models and simple systems. In the simulation, there are three main organisms, rabbits, wolves and grass all put together in a forest ecosystem. An ecosystem is a set of organism within a defined area or volume that interact with one another and with their environment (Miller & Spoolman). A system is a collection of elements or components that are organized for a common purpose (Rouse, 2005). The purpose of this simulation is to see how these three organisms will interact with one another in the same environment. We will see how the populations of these organisms change by modifying parameters specific to each organism and how changing the start up parameter of an organism can affect the way the others grow. Objectives 1. To view and interact with a simple scientific computer model. 2. To determine how simple changes in populations of one organism will affect populations of organism in the same system. 3. To use a computer model to complete objective 2. Hypothesis Placing rabbits in a larger forest will not only allow them to grow better and have enough sustenance but also to avoid being eaten by wolves. Results The default parameters are the following: | Rabbit | Wolf | Maximum food capacity | 45 units | 200 units | Metabolism rate | 3 units/stage | 2 units/stage | Reproduction age | 10 stages | 10 stages | Probability of reproduction...

Words: 1068 - Pages: 5

Premium Essay

Description

...swITch Project UCU  SwITch traineeship in Southwestern Uganda, AFRICA  AIESEC UCU, UGANDA | Earliest Start Date 02.10.2011  Latest End Date 30.11.2011 | | About swITch Project UCU | | | Job Description | Department the intern will be working | COMPUTER APPLICATIONS (Information Technology) | Job Description1 | Implements instructional activities that contribute to a climate where students are actively engaged in meaningful learning experiences. | Job Description2 | Collaborates with peers to enhance the practical computer skills environment. | Job Description3 | Help students learn terminology and gain computer skills needed to be successful in a green future. | Job Description4 | Communicates effectively, both orally and in writing, with students, and other professionals on a regular basis. | Job Description5 | Participates in training and presentations about computing and information technology | Job Description6 | | Measurable results expected from the intern | To increase on the number of students who can use computers and internet in high school(s) | Preparation required from the intern before arrival | Strong Internet and MS Office Skills. and better power point presentations for computer application. | Details on the Working Conditions | Personal Workspace Any Other | Other Details of the Working Conditions | Free Accommodation will be provided. The intern willbe working with Eden International school In Mbarara http://www.edeninternationalschool...

Words: 419 - Pages: 2

Premium Essay

Wou Computer Survey Lab#4

...Q1: Computer science I believe is more of a general overview of computers / computing. Software engineering on the other hand focuses on the coding / design of software. Computer Engineering focusses on the design and construction of computer hardware. Information Technology is more of a computer science class that caters to the person that wants to work for a business and design their computer systems for them. Whereas Information Systems, is close to Information Technology however focuses more on the business optimization and knowledge of that. Q2: Computer science involves a lot more and is not limited to just computers. If a new invention that came out tomorrow called the Teschescope would astronomy be called Teschescopy? No it wouldn’t. Computers is more of a tool used by computer science. Computer science is really a way to process information, and if one day a better idea rises to perform that task and replace computers I believe the name of the field would not change. Q3: #1: Job Details If you are a Director of Engineering or Senior Manager with PHP application development experience, please read on. Top Reasons to Work with Us This is an exciting opportunity with a growing SaaS company in San Francisco who helps solve innovation challenges that have never been solved before. We use PHP, Node, MySQL, Linux, cloud, and big data to support millions of users. What You Will Be Doing - Lead the Engineering and QA teams through technical application design...

Words: 594 - Pages: 3

Free Essay

El-Alamein

...Prepared by: Sta maria, John Paul Llamas, Lara Francine Paglinawan, Leah May Bautista, John Henry Presented to: Mr. Sawahi Malik Professor INTRODUCTION Background of the study The College of Information Technology and Computer Studies (CITCS) is a full-grown society. Evidently through the huge number of students who decided to take the course of Bachelor of Science in Computer Studies (BSCS), Bachelor of Science in Information Technology (BSIT) and Associate Computer technology (ACT) in Pamantasan ng Lungsod ng Muntinlupa (PLMun). Considering the existing the University’s Disciplinary Measure, CITCS decided to make a violation system that will use for storing information about violations and information about violators. In line with this fact a problem of having a record of all the CITCS students as possible violators raise in. also having a problem in recording violations rise in. The developed violation system is a system that will solve the existing problems by having records of all the CITCS students as possible violators and having a smooth flow of recording violations. The system also includes storing students record, modifying students records, deleting student record, printing student record, recording certain violations and indicates if the recorded violation is already served by the intended violators or not. The CITCS department is currently using a violation information system but still using a manual violation record that leads...

Words: 2110 - Pages: 9