Nonparametric function estimation with applications in finance


  • Lecture I, 20.01.2009 (PDF) Johdanto regressiofunktion estimointiin ja portfolion valintaan.
  • Lecture II, 27.01.2009 (PDF) Ydinestimointi.
  • Lecture III, 03.02.2009 (PDF) Lähimmän naapurin estimointi, yhden indeksin malli.
  • Lecture IV, 10.02.2009 (PDF) Yhden indeksin malli, parametriton portfolion valinta (utiliteettifunktiot)
  • Lecture V, 17.02.2009 (PDF) Parametriton portfolion valinta, riskin mittaaminen.
  • Lecture VI, 24.02.2009 (PDF) Ehdollisen varianssin, kvantiilin, shortfallin, tiheysfunktion ja kertymäfunktion estimointi.
  • Lecture VII, 03.03.2009 (PDF) Adaptiiviset regressogrammat.
  • ei luentoa, 10.03.2009
  • Lecture VIII, 17.03.2009 (PDF) Osittain lineaariset mallit.
  • Lecture IX, 24.03.2009 (PDF) Additiiviset mallit ja vaiheittainen estimointi.
  • Lecture X, 31.03.2009 (PDF) Datan muunnokset. Lokaalisti lineaarinen estimaattori.
  • Lecture XI, 07.04.2009 (PDF) Regressiomenetelmän valinta, silotusparametrin valinta, portfolion valintamenetelmän valinta
  • ei luentoa, 14.04.2009
  • Lecture XII, 21.04.2009 Kertaus

The course concentrates on nonparametric estimation of regression and classification functions. Regression and classification functions can be used to predict future observations when noisy historical data is available. Nonparametric techniques can be used when a large amount of observations is available and one is not willing to assume strict parametric form for the estimated functions. The course covers methods to select portfolios and to evaluate option contracts making realistic assumptions of the market behaviour. The covered methods include:

  • Linear methods, generalized linear models
  • Local averaging: kernel and nearest neigborhood regression
  • Empirical risk minimization
  • Single index models
  • Partially linear methods
  • Support vector machines
  • Aggregation
  • Tree based methods

The R-package "finatool" implements the methods that are covered in the lecture series.

Relevant literature includes:

  • Härdle, W., Mueller, M., Sperlich, S., and Werwatz, A. (2004). Nonparametric and Semiparametric Models. Springer.
  • Franke, J., Härdle, W., and Hafner, C. M. (2008). Statistics of Financial Markets. Springer.
  • Bouchaud, J.-P. and Potters, M. (2003). Theory of Financial Risks and Derivative Pricing, Cambridge Univ. Press, 2nd ed.
  • The homepage of log-optimal portfolios
  • Variable Selection for Portfolio Choice. Ait-Sahalia, Y. and Brandt, M. Journal of Finance, 2001, 56, 1297-1351.
  • Funktioiden estimointi, Lasse Holmström.