2008 Financial Crisis

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Financial Data Analysis |

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Contents

1) Introduction 2

2) Analysis of Data 2

a) Descriptive Statistics 2

b) Time Series Plot 2

c) Correlation 4

d) Regression Analysis 5

3) Forecasting Methods 6

a) Trend Analysis 6

b) Moving Average 7

c) Single Exponential Smoothing 10

d) Double Exponential Smoothing 11

e) Winters Method 12

4) Conclusion 14

1) Introduction

Coffee 1st Position and Coffee 2nd Position are contracts of the same underlying with different maturity dates. 250 prices of each contract are analysed in this coursework. Descriptive statistical analysis, time series plots, correlation and regression analysis are first carried out, before forecasting of 11 time points are made using different forecasting methods. This coursework is based on the subject of time series. However, previous learning was also included in various aspects of analysis.

2) Analysis of Data

a) Descriptive Statistics

CHART 1 DESCRIPTIVE STATISTICS

Chart 1 shows the descriptive statistics of Coffee 1st Position and Coffee 2nd Position. Measurements included are measures of central location, measures of dispersion and quartiles. From the statistics we can see, Coffee 2nd Position has higher values than Coffee 1st Position in all these measurements. Coffee 2nd Position also has a more volatile price movement, since its standard deviation is higher than Coffee 1st Position.

b) Time Series Plot

CHART 2 TIME SERIES PLOT FOR COFFEE 1ST POSITION

CHART 3 TIME SERIES PLOT FOR COFFEE 2ND POSITION

Chart 2 and 3 are individual time series plot for Coffee 1st Position and Coffee 2nd Position. Each data set includes 250 prices. Both plots follow very similar trends. This is expected sine Coffee 1st Position and Coffee 2nd Position have the same underlying.

c) Correlation

CHART 4 SCATTER PLOT OF COFFEE 2ND POSITION AGAINST COFFEE 1ST POSITION

CHART 5 SCATTER PLOT OF...