Statistics and Finance: An Introduction

by David Ruppert

This book emphasizes the applications of statistics and probability to finance. The basics of these subjects are reviewed and more advanced topics in statistics, such as regression, ARMA and GARCH models, the bootstrap, and nonparametric regression using splines, are introduced as needed. The book covers the classical methods of finance and it introduces the newer area of behavioral finance. Applications and use of MATLAB and SAS software are stressed. The book will serve as a text in courses aimed at advanced undergraduates and masters students. Those in the finance industry can use it for self-study.

Genres: Finance

496 pages, Hardcover

First published March 30, 2004

Reviews

[David · Rating 1 out of 5]

I had the unfortunate experience of using this book in a class. Aside from the typos, I was underwhelmed with the coverage and depth of topics in this book, and that's just with the statistics. The treatment of finance was not particularly strong either. As a practitioner (read stats/quant researcher), I don't think one gets a good sense of how finance and statistics are used in practice.

I do not recommend reading this book. There are a plethora of well-written statistics/finance books available. For example,
- "Analysis of Financial Time Series" by Tsay.
- Carol Alexander covers some similar topics.
- If you want more research/academia, see Campbell, Lo, and Mackinly "The Econometrics of Financial Markets".

If you want to read a broad statistics and finance book, read Ruppert's other graduate-level book "Statistics and Data Analysis for Financial Engineering". It covers more topics and at a level for an introduction.