ASSESSMENT DETAILS SIT718 Real World Analytics

ASSESSMENT DETAILS

SIT718 Real World Analytics

Assessment Task 2: Problem solving task 1

Assignment (a report in pdf format, software code and/or data) must be submitted via the assignment dropbox in the unit site (accessed in DeakinSync)

No e-mail or hardcopy submissions are accepted.

Extension requests

Requests for extensions should be made to Unit/Campus Chairs well in advance of the assessment due date. If you wish to seek an extension for an assignment, you will need to apply by email directly to Prof. Maia Angelova ([email protected]), as soon as you become aware that you will have difficulty in meeting the scheduled deadline, but at least 3 days before the due date. When you make your request, you must include appropriate documentation (medical certificate, death notice) and a copy of your draft assignment.

Conditions under which an extension will normally be approved include:

Medical To cover medical conditions of a serious nature, e.g. hospitalisation, serious injury or chronic illness. Note: Temporary minor ailments such as headaches, colds and minor gastric upsets are not serious medical conditions and are unlikely to be accepted. However, serious cases of these may be considered.

Compassionate e.g. death of close family member, significant family and relationship problems.

Hardship/Trauma e.g. sudden loss or gain of employment, severe disruption to domestic arrangements, victim of crime. Note: Misreading the timetable, exam anxiety or returning home will not be accepted as grounds for consideration.

Special consideration

You may be eligible for special consideration if circumstances beyond your control prevent you from undertaking or completing an assessment task at the scheduled time.

See the following link for advice on the application process:

http://www.deakin.edu.au/students/studying/assessment-and-results/special-consideration

Assessment feedback

Students will receive written feedback and model solutions to aid reflection and analysis of problem strategies and solutions for consideration in the upcoming problem-solving task during the week beginning Monday 17 December 2018

Referencing

You must correctly use the Harvard method in this assessment. See the Deakin referencing guide.

Academic integrity, plagiarism and collusion

Plagiarism and collusion constitute extremely serious breaches of academic integrity. They are forms of cheating, and severe penalties are associated with them, including cancellation of marks for a specific assignment, for a specific unit or even exclusion from the course. If you are ever in doubt about how to properly use and cite a source of information refer to the referencing site above.

Plagiarism occurs when a student passes off as the student’s own work, or copies without acknowledgement as to its authorship, the work of any other person or resubmits their own work from a previous assessment task.

Collusion occurs when a student obtains the agreement of another person for a fraudulent purpose, with the intent of obtaining an advantage in submitting an assignment or other work.

Work submitted may be reproduced and/or communicated by the university for the purpose of assuring academic integrity of submissions: https://www.deakin.edu.au/students/study-support/referencing/academic-integrity

© Deakin University 2 FutureLearn

ASSESSMENT DETAILS

SIT718 Real World Analytics

Assessment Task 2: Problem solving task 1

The aim of this assignment is to analyse the behaviour and performance of share prices of one company, from the listed five companies below, using historic data and the stochastic model given below.

Let W be a Brownian motion. A stochastic process S has both a Newtonian

term based on dt, where t is the time, and a Brownian term based on d   ,

the

infinitesimal increment of W.

A stochastic process S can be defined as a continuous process (  ,  ≥ 0) such that

can be written in differential form,

=+.

=  and

=

It can be shown by using the Itô’s formula that when

are both

=  exp [(   − 2)  +],

constants the solution for

is,

0

2

=0, 0;   0=0

1. Explain the meaning of and . Could these quantities be considered constant with time?

You are encouraged to research the information about stochastic modelling of share prices, Itô’s calculus online or in books, research articles. State clearly

ANY assumptions you have made.^{assumingthatat.}

(10 marks)

2. Select ONE company on the stock market from the FIVE companies listed below. You can use Yahoo Finance to download the historic data, https://au.finance.yahoo.com/?utm_source=Marketing&utm_medium=SEM&utm_ term=SEM_News&utm_content=non_branded_%2Byahoo%20%2Bfinance&ncid =googlesem_semnews_cc33emalx9k

Companies:

• Australia and New Zealand Banking Group ANZ.AX

• National Australian Bank Limited (NAB.AX)

• Medibank Private Limited (MPL.AX)

• British Petrolium p.l.c. (BP)

• GlaxSmithKline plc (GSK)

Collect the closing share price data for this company for each trading day for 3 consecutive months, from 1 August 2018 to 31 October 2018 inclusive.

(10 marks)

© Deakin University 3 FutureLearn

ASSESSMENT DETAILS

SIT718 Real World Analytics

Assessment Task 2: Problem solving task 1

3. State the condition that share prices have to satisfy in order to be represented by a geometric Brownian motion? Does your data satisfy this condition? Check using appropriate statistical test and present your evidence in a suitable tabular format.

4.  Compute   and

(10 marks)

for your data assuming that they are both constant. You are

encouraged to research the literature about   and

and find appropriate

formulas to compute their values from the three months historic data.

(20 marks)

5. Find information publicly available for your company, e.g. report and news releases.

Using this information about the company, critically appraise the computed

values of and .

(10 marks)

6. Estimate the expected value of the share price on 16 November 2018 and compare with published data.

(10 marks)

7. In the light of your findings, state the possible restrictions of your model.

Write a short report (up to 250 words) about your company using your research, model and results.

(20 marks)

8. Presentation

(10 marks)

Presentation will be assessed for style and grammar, presentation of mathematics, graphs, tables and references. You should not exceed the 7 A4 sides page limit (including figures, tables, appendices and references).

List and quote in the text the references used, including books, articles and web resources.

Note: Questions 1,3,4, 5 and 7 require independent learning and research.

.

END OF COURSEWORK ASSESSMENT