应用SAS实现金融大数据研究PDF电子书下载

查看更多关于的内容

1 Basic Rules when Using SAS 1

1.1 Build Our Own Research Database 1

1.2 Importing and Exporting Data 2

1.3 Managing Libraries and Data Sets 5

1.4 Enhancing SAS Efficiency 8

1.5 Best Practice to Make Our Codes and Data More Robust 10

2 Advanced Usage of SAS 13

2.1 Loops and Arrays 13

2.2 BY statement 16

2.3 Lag and Dif 17

2.4 Date and Times Formats and Informats 20

2.5 PROC MEANS 21

3 Manipulating Tables 25

3.1 Concatenating Tables 26

3.2 Merging Tables in SQL procedure 29

3.3 Merging Tables in DATA Step Using MERGE Statement 33

3.4 Modifying Tables 34

3.5 Transposing Tables 36

3.6 Subsetting Tables 37

4 SAS Macros 39

4.1 Understanding the Basics of SAS Macros 39

4.2 How SAS Executes a Macro 41

4.3 The Coding Rules in Macros That are Different From Other SAS Codes 43

4.4 Return The Total Number of Observations 44

4.5 Existence of A Macro Variable and The Zero Observation of A Dataset 46

5 Using SAS to Execute Financial Research Methodologies 49

5.1 Storing Results Generate by SAS Procedures 49

5.2 Summarizing Data and Statistical Tests 50

5.3 Regressions 53

5.4 Simulation Methods 57

5.5 Event Studies 61

6 Research on Mutual Funds 71

6.1 The Major Research Questions in Mutual Fund Studies 71

6.2 Calculating Fund Returns 77

6.3 Calculating Fund Alpha's Using a Macro 81

6.4 Calculating Fund Flows 84

7 Market Microstructure Research 93

7.1 Research on Decomposing Bid-ask Spread and Estimating PIN 93

7.2 Estimating the Microstructure Measures 98

参考文献 141

查看更多关于的内容