Statistics for the Financial Markets

This two day intensive course is designed for investment managers, traders, and risk analysts who are looking to gain a key understanding of the statistical tools and techniques used to analyse financial data. Throughout the course MATLAB-based workshops will provide an excellent opportunity to get hands-on experience of interpreting statistical values, analysing performance measurement, and developing risk management models. No prior knowledge of MATLAB is required.

Available for in-house delivery. Call +44 (0)1483 573150

Duration: Two days (9.30am to 4.30pm)
Location: In-house
Trainer: Paul Darbyshire
Please contact us for a quotation


Introduction to MATLAB

+ The MATLAB environment
+ A review of MATLAB syntax
+ Scripts and functions

Data Visualisation

+ Representing data: Valued added index and histograms
+ Visual tests for normality
+ Q-Q plots

Key Statistical Measures

+ Mean: Arithmetic vs. geometric
+ Standard deviation
+ Higher moments: skew & kurtosis: Square root rules
+ Covariance and correlation

Linear Regression

+ Dependent vs. independent variables
+ Coefficient of determination
+ Linearity assumption: Residual plots and homo- vs. hetero-scedastic
+ Tests of statistical significance


Performance Measurement I

+ M1, M2, M3, M4
+ M1/M2
+ The Sharpe ratio
+ Maximum drawdown
+ Information ratio: Tracking error

Performance Measurement II

+ Market models: Capital Asset Pricing Model (CAPM); Security market line; and Jensen's alpha
+ Treynor ratio: Concept of beta and Statistical significance
+ Minimum acceptable return
+ Sortino ratio

Key Risk Management Models

+ Significance and confidence levels
+ Value-at-Risk (VaR)
+ Cornish-Fisher expansion
+ Modified Value-at-Risk (MVaR)

Note: This workshop uses MATLAB. Delegates, however, will be able to apply the principles learnt during the workshop regardless of which software they choose to use thereafter.