Spring
Semester, 2022, Tuesday 11:30-13:20 LMC514, Wednesday 11:30-12:20 OEM602
http://www.math.hkbu.edu.hk/~hpeng/Math4826.html
E-mail: hpeng@hkbu.edu.hk
Teaching Assistant:
Office Hours: Tuesday 9:30-11:30, Wednesday 9:30-11:30 and Thursday 9:30-11:30, or by appointments.
Syllabus and Others: click here
Interest rate data
The Standard and Poor's 500 Index
Signal processing-deceleration during car crashes
Time Series Data About Hong Kong
Financial Time Series Charactistics
1. daily simple returns of the International Business Machines (IBM) stock
2. IBM stock from January 1926 to December 2008
Matlab Programs
Chapter 1
Plot figures for datasets of Example 1.1-1.4
Compute AR(2) Model predicted error
Chapter 2
Datasets
Program
Chapter 3
Example 3.1 Annual U.S. Production: Dataset, Main Program, Function: 1
Example 3.2 Quarterly Iowa Nonfarm Income: Dataset, Main Program, Functions: 1 2
Example 3.3 Weekly Thermostat Sales: Dataset, Main Program, Functions 1 2
Example 3.4 Car Sales: Dataset, Main Program, Functions: 1 2
Example 3.5 New Plant and Equipment Expenditures: Dataset, Main Program, Functions: 1 2 3
Chapter 4
Example 4.1 Yield Data: Dataset, Main Program, Function: 1
Cases Study
Datasets
Weekly egg prices at a German agricultural market between April 1967 and May 1990
GE daily returns for GE common stock from December 1999 to December 2000.
Quarterly earning per share of Johnson and Johnson from 1960 to 1980.
The 1-year and 3-year U.S. treasury constant maturity rates.
Assignments
Projects