Publications by C. Alberto Dorantes Dosamantes, Ph.D.

Workshop 2 - Data Analysis and Algorithms

27.09.2021

1 General directions for this Workshop You will work in RStudio. It is strongly recommended to have the latest version of R and RStudio. Once you are in RStudio, do the following. Create an R Notebook document (File -> New File -> R Notebook), where you have to write whatever is asked in this workshop. More specifically, you have to: Replicate a...

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Workshop 7 - Financial Econometrics I

29.09.2021

1 General directions for this Workshop You will work in RStudio. Create an R Notebook document to write whatever is asked in this workshop. At the beginning of the R Notebook write Workshop 6 - Financial Econometrics I and your name (as we did in previous workshop). You have to replicate all the steps explained in this workshop, and ALSO you have...

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Workshop 1 Solution - Algorithms and Data Analysis

05.10.2021

1 Data management for time-series financial variables 1.1 Data collection We start by downloading online real stock prices from Yahoo Finance. We start clearing our R environment: rm(list=ls()) # To avoid scientific notation for numbers: options(scipen=999) 1.1.1 The quantmod package The quantmod package is designed to help financial traders...

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Workshop 4 - Data Analysis and Algorithms

11.10.2021

1 General directions for this Workshop You will work in RStudio. You have to CAREFULLY READ the Problem Situation. This workshop will be a FIRST DRAFT of your FINAL PROJECT (PROBLEM SITUATION). Follow instructions in class to know what you need to submit in this workshop. The industry groups will be the following: Manufacturing Retail trade + Wh...

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Workshop 8 Solution - Financial Econometrics I

13.10.2021

1 Introduction to Categorical independent variables In the previous workshop we examined whether the market return, BMR and EPSP influence stock returns. We ran the models using both, contemporary values of the variables, and lagged values of the independent variables. Remember the time-series functions in R: lag(variable, #) refers to the Lag nu...

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Workshop 2 - Financial Modeling and Programming

06.11.2021

1 General directions for this Workshop You will work in RStudio. It is strongly recommended to have the latest version of R and RStudio. Once you are in RStudio, do the following. Create an R Notebook document (File -> New File -> R Notebook), where you have to write whatever is asked in this workshop. More specifically, you have to: Replicate a...

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Workshop 3 - Financial Modeling and Programming

15.11.2021

1 General directions for this Workshop You will work in RStudio. It is strongly recommended to have the latest version of R and RStudio. Once you are in RStudio, do the following. Create an R Notebook document (File -> New File -> R Notebook), where you have to write whatever is asked in this workshop. More specifically, you have to: Replicate a...

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Workshop 6 Solution - Financial Econometrics II

06.04.2022

1 Forecasting consumer demand with an ARIMAX model Assume that this industry is an oligopoly where there are few main players in the market that account for most of the market share. In an oligopoly, it is very common that price elasticity of demand is high and sensitive. In other words, when a player decreases the price of a product, it is very ...

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Workshop 3 Solution - Financial Programming

08.03.2022

1 Introduction In the following section I describe one or two approaches to solve the challenges of this workshop. Remember that these solutions are not the unique or the best solutions. You can use these solutions as guidelines to keep improving your programming skills. Remember that the only way to learn programming is PRACTICE, PRACTICE AND PR...

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Workshop 2 Solution - Financial Econometrics II

02.03.2022

1 Non stationary variables - The Random Walk model for stock prices The random walk hypothesis in Finance (Fama, 1965) states that the natural logarithm of stock prices behaves like a random walk with a drift. A random walk is a series (or variable) that cannot be predicted. Imagine that \(Y_t\) is the log price of a stock for today (t). The valu...

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