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The assignment for the Financial Time Series course at the University of Ruhuna involves analyzing stock prices of Amazon from 2005 to 2014, including plotting time series data and fitting various trends. Additionally, it requires examining quarterly sales data over three years, performing seasonal decomposition, and forecasting future sales. Students are also tasked with reading specific datasets using R, creating time series plots, and identifying patterns and seasonality in the data.

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22 views2 pages

Assi 1

The assignment for the Financial Time Series course at the University of Ruhuna involves analyzing stock prices of Amazon from 2005 to 2014, including plotting time series data and fitting various trends. Additionally, it requires examining quarterly sales data over three years, performing seasonal decomposition, and forecasting future sales. Students are also tasked with reading specific datasets using R, creating time series plots, and identifying patterns and seasonality in the data.

Uploaded by

Sand Rukshan
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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UNIVERSITY OF RUHUNA

DEPARTMENT OF MATHEMATICS
b.sc.honours in financial mathematics and industrial statistics
MFM3113: Financial Time Series (level III)

Assignment No.01 Semester I, 2024

1. Stock Market Prediction is the act of trying to determine the future value of company stock
or other financial instrument traded on an exchange. The following data set contains the
stock prices of Amazon for each quarter from 2005 to 2014.

Year Quarter 1 Quarter 2 Quarter 3 Quarter 4


2005 37 37 43 38
2006 47 41 41 59
2007 52 60 55 75
2008 32 43 67 39
2009 58 45 40 53
2010 64 63 66 67
2011 99 100 78 66
2012 73 38 41 64
2013 51 73 73 65
2014 89 76 75 67

(a) Obtain the time series plot of the stock prices of Amazon for each quarter from 2005
to 2014.
(b) Fit three trends (linear, quadratic, and exponential) to the time series.
(c) Which trend do you think is best to make forecasts for next three years? Why??

2. The quarterly sales of a company for 3-year period is given in the following table.

Year Quarter 1 Quarter 2 Quarter 3 Quarter 4


1 2.2 5.0 7.9 3.2
2 2.9 5.2 8.2 3.8
3 3.2 5.8 9.1 4.1

a) Obtain the time series plot for the above data.


Determine the suitable model (additive/multiplicative) for representing above data.
b) Assuming the data to be seasonal, carry out the seasonal decomposition. Perform a
residual analysis for this model.
c) Forecast the four quarters at year 4.
3. (a) Read following data sets using R.
i) The file http://robjhyndman.com/tsdldata/misc/kings.dat contains data on
the age of death of successive kings of England, starting with William the Con-
queror (original source: Hipel and Mcleod, 1994).
ii) The file http://robjhyndman.com/tsdldata/data/fancy.dat contains monthly
sales for a souvenir shop at a beach resort town in Queensland, Australia, for
January 1987-December 1993 (original data from Wheelwright and Hyndman,
1998).
iii) The data set of the number of births per month in New York city, from January
1946 to December 1959 (originally collected by Newton). This data is available
in the file http://robjhyndman.com/tsdldata/data/nybirths.dat
(b) Make time series plots
(c) Identify the pattern(Additive/Multiplicative) and seasonality of above data sets.

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