© 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 5.8 : Students’ t-distribution and the normal distribution
0
Normal distribution N(0,1)
Students’ t-distribution (fat tails)