Analysis of Large Financial Data

  • 7-weeks
  • 1.5 credits
  • Prerequisite:

In this course, large financial data such as CRSP (The Center for Research in Security Prices) and COMPUSTAT (Standard and Poor's database) will be retrieved from WRDS (Wharton Research Data Service) and analyzed by using SAS. Use of actual large scale data would enable us to investigate the behavior of financial data, to evaluate some trading rules, and to apply and test various financial theories and hypotheses. Regularities and anomalous behavior of financial data will be investigated.

In class, we will study how to retrieve financial data. In class, we will test certain hypotheses and evaluate certain trading rules.

Kelley School of Business

Faculty & Research