Finance

Stefan Sperlich and Wolfgang Härdle
September 20, 2000

There is growing interest in quantifying and simulating economic processes, particularly in the statistical analysis of the behavior of financial markets. The library finance is designed for this purpose. This tutorial explains and illustrates the use of XploRe for theory and practice in this setting.

The finance library offers functions to predict, to simulate and to estimate time series processes as for example stock returns, to determine option prices and to evaluate different scenarios (e.g. for portfolio strategies). To give a survey of the library we will present the principal procedures implemented in the finance library and illustrate their use with several graphics.

Before starting to work with the finance library in XploRe you have to load all the functions contained in the library by typing the command


  library("finance")


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