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FE 2104664 - Statistics for Financial Engineering
===========================================================

**Announcment**
Class handouts are available on this web. Homework assignments and other matter can be acceses in CourseVille.

Lecture notes
---------------
All handouts may contain some typo errors, which will be soon revised during the semester. The reviews on linear algebra, probability and statistics will NOT be taught in class. Students must review them before the lectures. Handouts of some chapters are not finished yet and will be added later.

1. `Course Overview`_ 
#. `Review on linear algebra`_ 
#. `Review on probability and statistics`_ 
#. `General optimization problem setting`_
#. `Estimators`_ 
#. `Linear regression`_ 
#. `Variable selection in regression`_
#. `Instrumental variables`_ 
#. `Nonlinear estimators (MLE, NLS)`_ 
#. `Generalized linear models (GLM)`_ 
#. `General methods of moments`_
#. `Hypothesis tests (Wald, Likelikelihood tests)`_ 
#. `Model selection`_  
#. `Model validation`_ 

.. _Course Overview: ./fe661/intro.pdf
.. _Review on linear algebra: ./fe661/algebra.pdf
.. _Review on probability and statistics: ./fe661/prob.pdf
.. _General optimization problem setting: ./fe661/optim.pdf
.. _Estimators: ./fe661/estimators.pdf
.. _Linear regression: ./fe661/ls.pdf
.. _Variable selection in regression: ./fe661/lsvarsel.pdf
.. _Instrumental variables: ./fe661/iv.pdf
.. _Nonlinear estimators (MLE, NLS): ./fe661/nonlinest.pdf
.. _Generalized linear models (GLM): ./fe661/glm.pdf 
.. _General methods of moments: ./fe661/gmm.pdf
.. _Hypothesis tests (Wald, Likelikelihood tests): ./fe661/hypothesis.pdf
.. _Model selection: ./fe661/modelsel.pdf
.. _Model validation: ./fe661/modelval.pdf


Course Information
--------------------

:Lectures: Room 1104, Mon 6-9 PM

:Instructor: Jitkomut Songsiri (JSS)

:Textbook: 

Lecture handouts are mostly summarized from these two books:

- A. C. Cameron and P.K. Trivedi, Microeconometrics: Method and Applications, Cambridge, 2005
- J.M. Wooldridge, Econometric Analysis of Cross Section and Panel Data, the MIT Press, 2010
- W.H. Greene, Econometric Analysis, 7 th Edition, Pearson, 2012

:Optional Textbooks:

- Defusco, R., McLeavey, D., Pinto, J., and Runkle, D. Quantitative Investment Analysis, 2nd edition, Wiley, 2007
- Rupert, D. Statistics and Data Analysis for Financial Engineering, Springer, 2012
- Keller, G. Managerial Statistics, 9th edition. South-Western, Cengage Learning, 2012
- Black, K. Applied Business Statistics, 7th edition. John Wiley and Sons, Inc. 2012
- Anderson, D., Sweeney, D., and Williams, T. Statistics for Business and Economics,11th edition.South-Western, Cengage Learning, 2011
- Mendenhall, W., Beaver, R.J., and Beaver, B.M. Introduction to Probability and Statistics, 12th edition. Thomson, 2006
- Abraham, B. and Ledolter, J. Introduction to Regression Modelings, Duxbery, 2006
- Kutner, Nachtsheim, Neter, and Li. Applied Linear Statistical Models, 5th edition. McGraw-Hill / Irwin, 2005
- Kohler, H. Statistics for Business and Economics. South-Western, 2002

:Grading: 
	Class participation 15% Homework 25%   Midterm 30%  Final 30% 

:Softwares: Most assignments involve MATLAB programming with optimization, statistics or machine learning toolboxes.