BMSO3610 Financial Data Analysisr Research Paper Online

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MSO3610 Financial Data Analysis
Coursework 2 – Individual Coursework
Issued 30 January 2017
Coursework 2 is an individual coursework and carries 30% of the total assessment. It is expected that you will use Excel, SPSS or Minitab and Word (or other suitable word processing software) to do this coursework. The coursework should be handed in to the Unihelp desk in the Shepherds Library no later than 4.00pm on 10 March 2017.
The coursework is based on the subject of Time Series (Units 11, 12 and 13) which are covered in Week 13, 14 and 15 Lectures. However you should also draw on previous work we have covered especially Correlation (Unit 9) and Regression (Unit 10) covered in Weeks 11 and 12 as well as other previous lectures
Go to UniHub MSO3610. On the Coursework page you will find a file called “Coursework Data”. In this file you will find an Excel file titled “ Grain Prices”.
From this file you will need to extract the following data:
Wheat No.2 Soft Red
Wheat No.2 Hard Kansas
1 May-2007 – 30 April 2008.
This should give you 524 prices.
Using various methods we have covered in lectures and seminars carry out a thorough analysis of the first 251 prices of each of the two data sets by drawing appropriate graphs and carrying out appropriate calculations and statistical analysis. (15%)
Write a short summary (up to 300 words) explaining what you have done and your findings. Explain any difficulties you encountered and how you dealt with them. Important areas to consider is the relationship between the two data sets and which one you consider more appropriate to use for forecasting. (15%)
Using various time series methods we have covered in lectures (moving average, trend, single exponential smoothing, double exponential smoothing and Winter’s method) analyse the first 251 prices of the series you considered most appropriate and forecast for the following 11 time points. Compare these forecasts to the actual prices using appropriate error calculations. (30%)
Write a summary (up to 700 words) explaining what you have done, your findings and any conclusions you have arrived at. Explain any difficulties you encountered and how you dealt with them. (30%)
Well written and well presented work carries 10%.
Additional Information
1. Any relevant additional information and analysis will attract marks.
2. Each coursework should come with a cover sheet stating your name, student number and e-mail address. When handing in coursework keep a copy and obtain a receipt.
3. Handwritten work is not acceptable.
4. The coursework must be the work of the individual and nobody else. Any work that is a copy of another student will be reported to the University’s Registry which could institute disciplinary procedures. Any work carried out by anyone but the student will receive zero marks.
5. You may be asked to attend a viva to substantiate your work.
6. A printed copy of your coursework should be handed in to the UniHelp desk in the Sheppard Library no later than 4.00pm on 10 March 2017.
Overview of Data
Prices quoted are spot closing prices per bushel in U.S.Dollars or U.S.Cents.
There are three main types of Wheat with active, liquid futures contracts traded on them: Soft Red Winter Wheat (Chicago Board of Trade), Hard Red Winter Wheat (Kansas City Board of Trade), and Hard Red Spring Wheat (Minneapolis Board of Trade). In futures vernacular, each type of Wheat is typically referred to by the city in which it is traded, such as Chicago Wheat is used instead of Soft Red Winter Wheat, while Kansas City and Minneapolis refer to Hard Winter and Spring, respectively.
Though there are many different varieties of Wheat grown throughout the world, such as Soft/Hard/White/Red, there are only two main classifications of Wheat, winter and spring. Winter Wheat is planted in the winter and Spring Wheat is planted in the spring, hence the names. Each particular type of Wheat, Hard Red, Soft Red, Durum and White, requires slightly different climatic conditions for growth and is best suited for each type. The most prevalent class of Wheat grown in the Untied States is Hard Red Winter or Kansas City Board of Trade Wheat. Hard Red Winter Wheat is grown predominantly in Kansas, Nebraska, Oklahoma, and the Texas panhandle. The cold, sub zero winters and the general lack of precipitation make these regions of the country ideal for Hard Red Winter Wheat production. The primary use of Hard Red Winter Wheat Flour is for bread making.
Soft Red Winter Wheat futures, the most actively traded Wheat futures contract, are traded on the Chicago Board of Trade (CBOT). The first modern futures contract was for Soft Red Winter Wheat. Soft Red Winter Wheat is grown in diverse areas of the country, central Texas, towards the northeastern Great Lakes and east to the Atlantic. Soft Red Wheat is grown in more humid environments, not suited to hard grain production. The flour from Soft Red Winter Wheat is used to make cakes, cookies, snack foods, crackers and pastries.
Bushels are now most often used as units of mass or weight rather than of volume. The bushels in which grains are bought and sold on commodity markets or at local grain elevators, and for reports of grain production, are all units of weight. This is done by assigning a standard weight to each commodity that is to be measured in bushels. These bushels depend on the commodities being measured and the moisture content. Some of the more common ones are:
• OATS USA 32lb = 14.5150kg
• OATS Canada 34lb = 15.4221kg
• BARLEY 48lb = 21.7724kg
• MALTED BARLEY 34lb = 15.4221kg
• SHELLED MAIZE [CORN] (15.5% Moisture) 56lb = 25.4012kg
• WHEAT (13.5% Moisture) 60lb = 27.2155kg
• SOYBEANS (13% Moisture) 60lb = 27.2155kg

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