Investigative Research Project Report

Causation versus CorrelationDivergence versus ConvergencePURPOSE:In groups, the purpose of this exercise is to learn to initially collect/retrieve and collate data electronically. Secondly, viacritical analysis and observation students must statistically and mathematically examine and explore the data files individually andthen collectively between other data sets, stating any hypotheses that may justify their inclusion. A professional report is to besubmitted. Do not include original raw data nor a literature review.Data:a. S&P500b. VIXc. 5-year U.S. Treasury – retrieve (Yahoo.finance)d. 10-year U.S. Treasury – retrieve (Yahoo.finance)e. MOVEMETHODOLOGY TO USE:1. Definitions2. Annualizing data – why? define, explain3. Moving Average – why? define, explain4. Lagging data – why? explain5. Graphs – individual/groups – label clearly graph and fonts6. Descriptive statistics7. ForecastingSTRUCTURE OF REPORT1. Coversheet2. Table of content3. Executive Summary4. Introduction5. Methodology6. Results7. Limitations8. Conclusion9. Citation & reference listMore instructions:1. Use graphs, tables…etc in writing this report2. Compare in graphs S&P and VIX: is the data convergent or divergent? Causation or Correlated?3. Start off with the S&P and VIX data, following that is the rest of the data4. Define each data briefly, and determine how is it calculated?5. Use descriptive statistics, graphs, mention/explain the negative and positive signs.6. Use natural log (today vs. yesterday) in terms of percentage. Define and explain it. Compare between it and between the regularpercentage change (put 2 graphs as comparisons) along with the explanations ofcourse.7. Compare the Treasury Bill with the MOVE in terms of using graphs as well.8. When using VIX, you can only use graphs no need for descriptive statistics.9. Compare VIX and S&P in terms of percentage change.10. MOVE and BOND comparisonsLinks that can be used to help you in writing the report (the highlighted ones are the most important):Robert Shiller Yale course…..manyOptions Markets 57 minutes onwardsWhy use log returns in finance ?time additive time consistent – take the log of skewed data and you can assume normal distribtuionvolatility historical or moving volatility https://www.youtube.com/watch?v=v17M0glWCHAHow to calculate (simple) historical volatilityCalculating Annualized Standard Deviation from Stock PricesCalculating Annualized Standard Deviation from Stock Prices