Quantitative Finance With Sas

Learn Quantitative Finance| Concept of T-Test| Correlation Theory| Regression Modeling| Multiple Regression Modeling etc

What you'll learn

Implement financial analysis concepts using SAS inbuilt quantitative procedures

Learn about the T test and its practical examples

Know more about correlation theory and regression modelling in SAS

Install SAS and use it for real time financial analysis

Requirements

This course requires a basic understanding of quantitative methods and basic modelling concepts. Other than this basic computer and internet knowledge is required to take up this course.

Description

What is Quantitative FinanceQuantitative Finance is also known as Mathematical Finance and it is a field of applied mathematics which is related with financial markets. Mathematical finance also overlaps with computational finance and financial engineering. There are a lot of advanced quantitative techniques which are used in different fields in today’s world.Course ObjectivesAt the end of this course you will be able toInstall SAS and use it for real time financial analysisImplement financial analysis concepts using SAS inbuilt quantitative proceduresLearn about the T test and its practical examplesKnow more about correlation theory and regression modelling in SASCourse DescriptionSection 1: Overview of SAS and Quantitative FinanceIntroduction to SAS Quantitative FinanceSAS is the most comprehensive statistical analysis software used widely in the world. SAS offers data analysis solutions to almost all fields through various statistical models. Each analysis in SAS is performed through a subroutine called procedure (PROC). PROC QTL is a user defined SAS procedure which is used to map quantitative trait loci. SAS can be used for learning statistics and quantitative methods. This chapter gives a quick introduction to SAS and Quantitative finance in SAS.Installation of SAS. This chapter explains how to install SAS software for different OS. The system requirements of SAS are also included in this chapterSAS System & Means ProcedureThe MEANS procedure is a data summarization tool which is used to calculate descriptive statistics for all observations and within group of observations. PROC MEANS and PROC SUMMARY are more similar to each other. PROC MEANS gives a output and there are two types of such output – PROC MEANS default output and PROC MEANS Customized Output. PROC MEANS is also used to perform a t test. In this chapter the PROC MEANS, its output, syntax, task and statistical computations are explained in detail.Section 2: Concept of T TestT TestThe TTEST procedure in SAS is used to perform t tests for one sample, two sample and paired observations. The assumptions of all these three t tests are given in this chapter. The topics covered in this section areOne sample t test – compares a sample mean to a given value. Example is given for your referenceComparing group means – Group t test is used to compare values from two different groups where the data are normally distributed in each group. Examples of group t test are providedSyntax of PROC TTESTPROC TTEST Statements – BY statement, CLASS statement, FREQ statement, PAIRED Statement, VAR Statement, WEIGHT StatementComputational methods – The t Statistic, The Folded Form F Statistic, The Approximate t Statistic, Satterthwaite’s Approximation, The Cochran and Cox Approximation, Confidence Interval EstimationDisplayed OutputODS Table NamesPractical of T TestThree examples are given in this section to make you understand about t tests easilyExample 1 – Comparing Group Means Using Input Data Set of Summary StatisticsExample 2 – One-Sample Comparison Using the FREQ StatementExample 3 – Paired ComparisonsSection 3: Correlation TheoryIntroduction to Correlation theoryCorrelation is a method where one variable increases and the other variable decreases. For example, if there is a rise in temperature it will also lead to a rise in the sales of ice creams. This is called positive correlation. Correlation analysis deals with relationship among variables. The correlation coefficient lets researchers to measure if there is a possible linear relationship between two variables measured on the same subject. The values of the correlation coefficient are always between -1 and +1. There are different types of correlation coefficients used for different situation. The most common is the Pearson correlation coefficient. This chapter contains more details about the correlation theory and explains its types in detail.Interpretation of SAS OutputThe output produced by PROC CORR in SAS gives a lot of useful information. The output contains information regarding the list of variables included in the analysis. Next it provides a list of simple statistics for each variable in the analysis. This list contains the number of observations, mean, standard deviation, sum, minimum and maximum. One list contains each variable and their label. Finally the correlation measures are provided in the output. The output will be named “Pearson Correlation Coefficient” by default. The results will be displayed in a cross tabular format with the values of one on the diagonal. This section explains the output and correlation procedure using an example.Correlation theory and implementation in SASThe PROC CORR procedure is used to measure correlation in SAS. This procedure will provide correlation measures of multiple variables which is in a cross tabular format. The syntax used for correlation in SAS is mentioned in detail along with its parameters which are mentioned belowDataset – name of the data set which needs to be analyzedBy – produces separate correlation analysis for each BY groupFreq – identifies a variable whose values represent the frequency of each observationpartial – identifies controlling variables to compute different types of correlation coefficientvar – identifies controlling variables to correlate and their order in the matrixweight – identifies a variable whose values weight each observation in order to compute Pearson weight product moment correlationwith – computes correlation for specific combination of variablesThis chapter will let you learn how to use the CORR procedure to tell SAS to calculate Pearson Correlation Coefficient. You will also learn how to tell SAS to perform other alternative coefficients. You will learn to read typical correlation procedure output in SAS and interpret a correlation coefficient.Section 4: Regression ModellingIntroduction to Regression ModellingRegression analysis is the analysis of relationship between a response and the another set of variable. The regression analysis finds out a response variable and parameters. In order to perform regression analysis in SAS the PROC REG procedure is used. This procedure will provide regression analysis for multiple variables. The syntax for the procedure is explained in detail which containsdatasetby vardepvarindep varfreq varweight varThere are different types of regression which are also explained in this chapter in detail with examplesSimple Linear RegressionPolynomial RegressionResponse Surface RegressionPartial Least Squares regressionQuantile RegressionRobust RegressionRegression with TransformationIn this chapter you will learn how to use the REG procedure in SAS to calculate regression equation between two numeric variables. You will also learn how to use MODEL and PLOT statement to inform SAS how each variable should be treated. Here you will learn how to use the REG procedure to conduct regression analysis in SAS which involves quadratic terms and transformed variables.Regression Modelling in SAS SystemThis lesson will help you to find how SAS can be used to test whether the data meets the assumptions of Linear regression. In this chapter the following assumptions are consideredLinearity – In this assumption the relationships between the predicators and the outcome are considered to be linearNormality – The assumption here is that the errors are normally distributedHomogeneity of Variance – The error variance are constantIndependence – The assumption here is the errors of one observation are not correlated with errors of any other observation.Errors in Variables – Here the assumption is the predicator variables are determined without errorModel Specification – The models are properly specifiedAnalysis of VarianceANOVA is SAS is done using PROC ANOVA. It is used to perform ANOVA for balanced data from a wide variety of experimental designs. ANOVA is used to compare the means of multiple groups. The ANOVA procedure is one of the several procedures in SAS. The basic syntax for ANOVA in SAS is given in this chapter with the explanations for each of the parameters used in the syntax. The topics included in this section areOne way layout with Means ComparisonRandomized Complete Block with One FactorANOVA Procedure – ABSORB statement, BY Statement, CLASS, FREQ, MANOVA, MEANS, MODEL, REPEATED and TEST statementsMissing valuesComputational MethodOutputODS Table names and graphicsExamples of ANOVA using SASParameter EstimatesParameter estimates are a part of PROC REG in SAS. The parameter estimates table and the associated statistics in PROC REG are explained in detail in this chapter using an example.Example of Maruti vs SensexThis section contains the example of Maruti Vs Sensex calculation using SAS.Section 5: Multiple Regression ModellingIntroduction theory to SAS proceduresSAS procedures are used to carry out all form of statistical analysis in SAS. The keyword for procedure in SAS starts with PROC. The most commonly used SAS procedure steps are explained in detail in this chapter.SAS procedures – Economic DataThe SAS access to financial and economic databases are provided in this chapter and it explains about the DATASOURCE procedure and its features.Interpretations of SAS OutputThis section deals with various types of interpretation of SAS output.Interpretation of BSE – SensexThis chapter will help you to understand how SAS is used in the calculation of Sensex.Interpretation of ForexUnder this chapter you will learn how to interpret Forex.

Overview

Section 1: Overview of SAS & Quantitative Finance

Lecture 1 Introduction to SAS Quantitative Finance

Lecture 2 Installation of SAS

Lecture 3 SAS System & Means Procedure

Section 2: Concept of T-Test

Lecture 4 T-Test

Lecture 5 Practical of T-Test

Section 3: Correlation Theory

Lecture 6 Introduction to Correlation theory

Lecture 7 Interpretation of SAS Output

Lecture 8 Correlation theory and implementation in SAS

Section 4: Regression Modeling

Lecture 9 Introduction to Regression Modeling

Lecture 10 Analysis of Variance

Lecture 11 Regression Modeling in SAS System

Lecture 12 Parameter Estimates

Lecture 13 Example of Regression Models

Lecture 14 Example of Maruti vs Sensex

Section 5: Multiple Regression Modeling

Lecture 15 Introduction theory to SAS procedures

Lecture 16 SAS procedures Economic Data

Lecture 17 Interpretations of SAS Output

Lecture 18 Interpretation of BSE Sensex

Lecture 19 Interpretation of Forex

Lecture 20 Continuation of Interpretation of Forex

The target audience of this course includes Chartered Financial Analysts, Finance related professionals, Fund managers, Any finance students and anyone who is interested in learning about SAS Quantitative Finance