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
  2. Review on linear algebra
  3. Review on probability and statistics
  4. General optimization problem setting
  5. Estimators
  6. Linear regression
  7. Variable selection in regression
  8. Instrumental variables
  9. Nonlinear estimators (MLE, NLS)
  10. Generalized linear models (GLM)
  11. General methods of moments
  12. Hypothesis tests (Wald, Likelikelihood tests)
  13. Model selection and validation

Course Information

Lectures:Room 1104, Mon 6-9 PM
Instructor:Jitkomut Songsiri (JSS)

Lecture handouts are mostly summarized from these two books:

      1. 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.