CE885 Assignment Part 2 (for Business School Students) Set by Prof. Qingfu Zhang Deadline 14/Dec/2012 11:59:59am Objective To practice MATLAB using nancial data. Data les Two data les FTSE100.dat and SP500.dat can be down- loaded from moodle. In these les the rst column is date and the second one is the daily price. Daily Return formula: rt = Pt ?? Pt??1 Pt??1 (1) where Pt is the price at time t r(t) is the return. Your Task: Write an M-function that computes simple returns as formula (1). Use this function to calculate the daily returns for each index. Using MATLAB build-in functions estimate the sample mean standard deviation skewness and kurtosis for each index. Your report should include: 1. M-function that computes simple returns as formula (1). 2. Plot of the price levels of the two indices vs the date in one gure. It should include the title labels and legend (Hint: you might need to use build-in functions such as datetick ). 3. Plots of the returns of two indices in one window (including titles labels and legends). You should use subplot. 4. The proportion of days in which the returns were positive and in which the returns were negative for the two indices. In you MATLAB function for computing the proportion the input is a vector of returns and the output is the proportion of positive and negative returns. 5. The date and value of: a) Greatest loss b) Greatest gain c) Highest price and d) Lowest price for each index (Hint: you may need to use datestr ). 6. The number of days when the daily returns positive and smaller than 1% for each index? 7. The skewness and kurtosis of daily returns for each index. 8. The proportion of days in which the daily returns were higher/lower than 2:33for each index. 1
9. The MATLAB functions or scripts for the above tasks. andThe MATLAB functions or scripts for task 2-8. Online Submission: Your report. 2
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