Applied Financial Economics -- Programming

Book excerpt: This book is about programming for trading in financial market. We cover Excel (Part 1), Excel VBA (Part 2) and R (Part3) are covered. We first cover Excel that requires minimum programming technique, it is desirable to start learning it first. Then Excel VBA is covered to provide a smooth transition to more complicated R programming. In particular, students first learn how to use Excel to generate a simple trading system and this builds the foundation for the more complicated trading system in R. Excel VBA is commonly used for computationally less demanding calculations in both academic and business world. Students are prepared to how to use them to do various financial analysis including fundamental analysis, technical analysis and time series analysis. In particular, students will learn how to write an analyst report, and create computer-aided technical trading system. R is widely used in computationally heavy financial and statistical computation. Students are prepared how to do data manipulation, conduct econometric analysis (regression, time series), plotting package, webscrapping, and financial analysis. In particular, students will learn how to backtest complex trading strategy and evaluate the performance.