© K. Cuthbertson and D. Nitzsche

Figures for Chapter 5

BASIC STATISTICS

(Investments : Spot and Derivatives

Markets)

© K. Cuthbertson and D. Nitzsche

Figure 5.1 : FTSE100 Price index (Jan. 1990 - Aug. 2000)

0

1000

2000

3000

4000

5000

6000

7000

8000

Jan-90 Jul-91 Jan-93 Jul-94 Jan-96 Jul-97 Jan-99 Jul-00

© K. Cuthbertson and D. Nitzsche

Figure 5.2 : Monthly returns on FTSE100 (Jan. 1990 - Aug. 2000)

-0.15

-0.1

-0.05

0

0.05

0.1

0.15

© K. Cuthbertson and D. Nitzsche

Figure 5.3 : Histogram of monthly returns (General Motors)

0

5

10

15

20

25

30

35

lessthan -20%

-20% tounder -

15%

-15% tounder -

10%

-10% tounder -

5%

-5% tounder

0%

0% tounder

5%

5% tounder10%

10% tounder15%

15% tounder20%

morethan20%

© K. Cuthbertson and D. Nitzsche

Figure 5.4 : Probabilities : Throwing a die

0

0.02

0.04

0.06

0.08

0.1

0.12

0.14

0.16

0.18

1 2 3 4 5 6

© K. Cuthbertson and D. Nitzsche

Figure 5.5 : Two period stock price lattice

Timet = 0 t = 1 t = 2

S = 100

SD = 90.91

SU = 110

SU2 = 121

SD2 = 82.65

SUD or SDU = 100

p = 0.6

(1- p) = 0.4

(1- p) = 0.4

(1- p) = 0.4

p = 0.6

p = 0.6

U = 1.1(D = 1/1.1)

© K. Cuthbertson and D. Nitzsche

Figure 5.6 : Poisson distribution

0

0.1

0.2

0.3

0

0.1

0.2

Panel A : = 3 Panel B : = 15

© K. Cuthbertson and D. Nitzsche

Figure 5.7 : Standard normal distribution N(0,1)

-4 -2 0 2 4

© K. Cuthbertson and D. Nitzsche

Figure 5.8 : Students’ t-distribution and the normal distribution

0

Normal distribution N(0,1)

Students’ t-distribution (fat tails)

© K. Cuthbertson and D. Nitzsche

Figure 5.10 : Regression analysis

-50

-40

-30

-20

-10

0

10

20

30

40

50

-15 -10 -5 0 5 10 15 20

Return on the FTSE

Ret

urn

on

BA