Introductory Course 2002

S-PLUS Essentials for Finance

at ETH Zurich, October 15-17, 2002

Lecturer

Mariabeth Silkey (Insightful AG)

Course Description

S-PLUS Essentials for Finance is a hands-on training course that covers a broad spectrum of topics from importing data to fitting statistical models. At the conclusion of the course the student will have a working knowledge of the syntax of the S-PLUS language. Both traditional and trellis graphs will be explored. In addition to function writing in the context of graphing and statistics, the course will introduce the basic concepts of time series using tools from the Finance Metrics module for S-Plus 6.1.

Course Objectives

Upon completing the S-PLUS Essentials for Finance, participants will know how S-PLUS can be used to:
  • Create scatter plots, histograms, boxplots, quantile-quantile plots
  • Create Trellis graphs
  • Fit and evaluate linear models
  • Write vectorized command-line expressions
  • Retrieve data from S-PLUS data structures
  • Write and debug basic functions
  • Create data structures suitable for time series models
  • Perform basic time series analysis

Target Audience

  • Academic: Admitted MAS Finance students, selected Ph.D. students and faculty members of the University of Zurich and ETH Zurich
  • Financial Industry: Risk managers, quants, actuaries in banking, insurance and general corporations, as well as RM experts in supervisory authorities. A basic knowledge of elementary probability and statistics is presupposed.

Course Content

  • Day 1: Concepts
    • Introduction to the Graphical User Interface
    • Graphical tools to assess normality
    • Exporting graphics
    • Command line syntax, object orientation
    • Data import and export
    • Data structures
  • Day 2: Programming and Vectorization
    • More data structures
    • Functions and operators
    • Command-line graphics
    • Writing functions with style
    • Debugging and trouble shooting
    • Take advantage of vectorization
  • Day 3: Time Series Analysis
    • Data structures for time series
    • Time series concepts
    • Last words: Managing your S-Plus session

Date, Location and Daily Schedule

October 15-17, 2002, in ETH main building
  • 09.00 - 10.00: HG D 7.1 (lecture)
  • 10.00 - 12.00: HG E 23 (PC room)
  • 13.30 - 15.00: HG D 7.1 (lecture)
  • 15.00 - 17.00: HG E 23 (PC room)
with appropriate coffee breaks

Notes

The course consists of both lecture and hands-on instruction. Desktop PC's will be shared by academics during the practical sessions, representatives from the financial industry will have one for single use. Training manuals will also be provided during the course. These materials will be yours to keep.

Course Fee and Registration

  • Industry delegates: CHF 2,000 + 7.6% VAT
    Please contact Ms. Kalinka Fedeli for registration.
  • MAS Finance students: Free of charge.
    Please contact Aline Strolz for registration.
  • Ph.D. students and faculty members: Free of charge, but limited availability.
    Please contact Aline Strolz to sign up for the waiting list.

Organizer

PD Dr. Uwe Schmock (Director MAS Finance)

About the Lecturer

Mariabeth Silkey Mariabeth Silkey
(Head, European Training, Insightful AG)

As a trainer and consultant for Insightful AG, Ms. Silkey has advised clients on exploratory statistical techniques such as neural networks, classification and regression tree (CART) models, k-means clustering, general additive models, principal component analysis, and time series applications. Besides her general computing background, she has in-depth experience in particular with S-PLUS and Insightful Miner.
Academic Degrees
  • BS Astronomy (1984), University of Arizona, Tucson, Arizona
  • MS Astronomy (1987)
  • BS Physics (1991)
  • MS Statistics (1998), all at the University of Washington, Seattle, Washington
Programs and Certifications
  • Physics (1982), exchange scholarship, Ruprecht-Karls-Universität, Heidelberg, Germany
  • Engineer-in-Training Certificate (1987), State of Washington
  • Teaching Credential (1992), Mills College, Oakland, California
Languages
  • English (mother tongue)
  • German (nearly fluent)
  • Russian (conversant)
  • Spanish, French (basic)



[RiskLab] [ETH Finance Group] [Department of Banking and Finance] [NCCR-FINRISK] [CCFZ]