data science代写-金融代写-数据科学代写
data science代写

data science代写-金融代写-数据科学代写

ACTU PS5841 Data Science in Finance & Insurance – Autumn 2021 (Y. Wang) Assignment – 2

Assigned 9/30/21, Due 10/7/21

data science代写 Returns of risky cash assets (such as stocks) are commonly assumed to be normally distributed,   while their prices log-normally distributed.


Problem 1. Asset Prices   data science代写

Returns of risky cash assets (such as stocks) are commonly assumed to be normally distributed,   while their prices log-normally distributed. Let’s investigate these empirically.

SP500 randomized.csv contains daily closing prices of the SP-500 index over the past 20-plus years. Please note that historical records in this file are not in any chronological order.

data science代写
data science代写

Let’s assume that daily returns of the SP-500 index are independent and identically distributed.  data science代写

[a]Estimatethe probability density function of the daily return and plot it.

[b]Estimate the mean, variance, skewness and kurtosis of the daily return and report them numer-ically.

[c]Providea QQ-plot of the estimated return distribution versus the normal distribution.

[d]Assume SP500 index is currently 4430. Based on our return distribution assumption, predict theindex value one year (252 trading days) from now, using a Monte Carlo simulation with 100,000 paths. Report your predicted value and its variance.

[e]Plot the estimated probability density function of the index value one year from now.

[f] Does [e] look log-normal to you? Provide a  QQ-plot  of  the  estimated  price  distribution versus the log-normal distribution.

 

更多代写:代码查重python 雅思代考 英国assignment作业代写 essay hook代写 美国论文怎么写 代写留学生homework

合作平台:天才代写 幽灵代  写手招聘  paper代写

data science代写
data science代写

发表回复