Richer Contexts for Some Course Topics

I will place links here to resources that are related to our course but which are not central to our course. I many cases the material is rather advanced for an undergraduate course. Nevertheless, anything that is pointed to her will have at lest some piece that is easily understood at the level of 434.

Some Relevant Books A page that provides a brief introduction to some books that share themes with the course. Most of these are "trade" rather than "text" books; that is, you can really read them.

Web Resources Created for 434

Ljung-Box Test

A brief introduction to the original paper


A web page that provides a broader discussion of the Yule-Walker equations, including the connection to cell phone calls and to sunspots. It is more oriented toward graduate students than to undergrads, but you might give it a quick browsing.

The Kelly Criterion

The Efficient Market Hypothesis

Risk Management

Likelihood Ratio Tests

Testing CAPM...not for the faint of heart

Portfolio Construction

Model Selection

Technical Trading

Exploration Tool for the AR(2) Models

John Tukey


R --- Description and Resources

Stylized Facts

Back Testing

Co-integration and Statistical Arbitrage

Performance Measures

University Endowments and Non-traditional Asset Allocation


Steele Home

434 Home

Surprise Me!