15.417  Laboratory in Investments (meets with 15.401AB)

Class photo posted

The class photo from our last lab meeting is posted on Stellar. Thanks to Xiaoxi for the picture, and thanks to everyone for a great semester.

Announced on 17 May 2017  12:02  p.m. by Paul F. Mende

Lab 2: CAPM

The second lab assignment is available on Stellar. Please read and bring it to lab tomorrow, and bring your laptops, too. The principal references behind the lab are the review articles by Perold and by Fama & French, which are available on Stellar in the Readings section. The original papers by Sharpe and Lintner, written 40 years prior, are linked in the References section of the site.

Announced on 02 March 2017  9:18  p.m. by Paul F. Mende

More code, more slides, more office hours

Dear students,

Please bring your laptops to lab on Friday as we will use part of the time as a working session. Bring your results so far, too, and any issues you have run into. Also:

1) Please review the material under the newly re-titled section "Writing resources" on Stellar, including Harlan's slides, before our next meeting.

2) I have updated the slides from last time to include appendices with background probability definitions, details of derivations we did on the whiteboard last time, plus additional code examples (see R functions p. 24) that may be helpful for the project.

3) Office hours this week: W 10:30-12 in addition to F 10:30-12.

Announced on 22 February 2017  8:55  a.m. by Paul F. Mende

More code, more slides, more office hours

Dear students,

Please bring your laptops to lab on Friday as we will use part of the time as a working session. Bring your results so far, too, and any issues you have run into. Also:

1) Please review the material under the newly re-titled section "Writing resources" on Stellar, including Harlan's slides, before our next meeting.

2) I have updated the slides from last time to include appendices with background probability definitions, details of derivations we did on the whiteboard last time, plus additional code examples (see R functions p. 24) that may be helpful for the project.

3) Office hours this week: W 10:30-12 in addition to F 10:30-12.

Announced on 22 February 2017  8:55  a.m. by Paul F. Mende

Code samples from lab

Dear students,

The classroom slides on Stellar dated 2/17 contain R code samples that cover the same steps I demonstrated in class: loading market data, computing the annualized return and volatility of a stock, computing (and plotting) vol ratios along with raw variances as functions of observation frequency.

If you want to walk through the same commands -- which I highly recommend -- with my data as well as your own, you can find my Tootsie Roll price file also on Stellar, under the "Data" header/folder.

I can provide the console history if anyone wants it; however I think the slides are cleaner and clearer. If you have other questions, please let me know. I will be adding a few more slides that summarize the work we did on the whiteboards.

The slides also contain MATLAB sample code, which you are invited to try out as well, particularly if you want to try the vratiotest function. Please note that you don't need to know multiple languages or environments*, and our main concern will always be on the finance ideas, not on coding tricks.

[* Not counting Excel, which (alas) is the world's most popular risk-management software. Everyone should know how to load and compute at least a few basic functions with financial time series in Excel. So if you haven't done it before, see the Excel import slides and try your hand at computing the same annualized risk and return results that we derived using R.]

Announced on 18 February 2017  6:55  p.m. by Paul F. Mende