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Exploratory Data Analysis

  • David Ruppert
  • David S. Matteson
Part of the Springer Texts in Statistics book series (STS)

Abstract

This book is about the statistical analysis of financial markets data such as equity prices, foreign exchange rates, and interest rates. These quantities vary randomly thereby causing financial risk as well as the opportunity for profit. Figures 4.1, 4.2, and 4.3 show, respectively, time series plots of daily log returns on the S&P 500 index, daily changes in the Deutsch Mark (DM) to U.S. dollar exchange rate, and changes in the monthly risk-free return, which is 1/12th the annual risk-free interest rate. A time series is a sequence of observations of some quantity or quantities, e.g., equity prices, taken over time, and a time series plot is a plot of a time series in chronological order. Figure 4.1 was produced by the following code:

Keywords

Kernel Density Estimate Normal Probability Plot Kernel Density Estimator Time Series Plot Volatility Cluster 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 2015

Authors and Affiliations

  • David Ruppert
    • 1
  • David S. Matteson
    • 2
  1. 1.Department of Statistical Science and School of ORIECornell UniversityIthacaUSA
  2. 2.Department of Statistical Science Department of Social StatisticsCornell UniversityIthacaUSA

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