Essay Prepare, Evaluate and Analyse Stock Market Data – Statistics Assignment Help

Assignment Task:

Task:

Introduction

The aim of this project is to prepare, evaluate and analyse stock market data and to recommend an optimal portfolio consisting of two stocks. You have been assigned three stocks, all three must be included in the analysis which works towards your recommendation of a final optimal portfolio. The project requires a deep understanding of both the statistics and the mathematics components of this unit. It is recommended that you work on this on a weekly basis. Refer to the rubric at the end of this document to understand how this assessment will be graded. In particular, note that all figures need to be numbered and labelled, and you need to include all the steps to involved with arriving at each of your answers. Your final report should be a pdf document. An RMarkdown document to get you started is available on the unit Blackboard site. Show all of your coding by keeping echo = TRUE. Make sure to update your name and student ID in the YAML of the document. 1 Import Data Import the adjusted stock prices for the three stocks which you have been assigned. See the Markdown file for hints.

2 The Analysis 2.1 Plot prices over time Plot the prices of each asset over time separately. Succinctly describe in words the evolution of each asset over time. (limit: 100 words for each time series).

2.2 Calculate returns and plot returns over time Calculate the daily percentage returns of each asset using the following formula: rt = 100 ∗ ln Pt Pt−1 Where Pt is the asset price at time t. Then plot the returns for each asset over time. 1

2.3 Histogram of returns Create a histogram for each of the returns series (explain how you determined the number of bins to use).

2.4 Summary table of returns Report the descriptive statistics in a single table which includes the mean, median, variance, standard deviation, skewness and kurtosis for each series. What conclusions can you draw from these descriptive statistics?

2.5 Are average returns significantly dierent from zero? Under the assumption that the returns of each asset are drawn from an independently and identically distributed normal distribution, are the expected returns of each asset statistically dierent from zero at the 1% level of significance? Provide details for all 5 steps to conduct a hypothesis test, including the equation for the test statistic. Calculate and report all the relevant values for your conclusion and be sure to provide an interpretation of the results.

2.6 Are average returns dierent from each other? Assume the returns of each asset are independent from each other. With this assumption, are the mean returns statistically dierent from each other at the 1% level of significance? Provide details for all 5 steps to conduct each of the hypothesis tests using what your have learned in the unit. Calculate and report all the relevant values for your conclusion and be sure to provide and interpretation of the results. (Hint: You need to discuss the equality of variances to determine which type of test to use.)