应用SAS实现金融大数据研究

1Basic Rules when Using SAS

1.1Build Our Own Research Database

1.2Importing and Exporting Data

1.3Managing Libraries and Data Sets

1.4Enhancing SAS Efficiency

1.5Best Practice to Make Our Codes and Data More Robust

2Advanced Usage of SAS

2.1Loops and Arrays

2.2BY statement

2.3Lag and Dif

2.4Date and Times Formats and Informats

2.5PROC MEANS

3Manipulating Tables

3.1Concatenating Tables

3.2Merging Tables in SQL procedure

3.3Merging Tables in DATA Step Using MERGE Statement

3.4Modifying Tables

3.5Transposing Tables

3.6Subsetting Tables

4SAS Macros

4.1Understanding the Basics of SAS Macros

4.2How SAS Executes a Macro

4.3The Coding Rules in Macros That are Different From Other SAS Codes

4.4Return The Total Number of Observations

4.5Existence of A Macro Variable and The Zero Observation of A Dataset

5Using SAS to Execute Financial Research Methodologies

5.1Storing Results Generate by SAS Procedures

5.2Summarizing Data and Statistical Tests

5.3Regressions

5.4Simulation Methods

5.5Event Studies

6Research on Mutual Funds

6.1The Major Research Questions in Mutual Fund Studies

6.2Calculating Fund Returns

6.3Calculating Fund Alpha’s Using a Macro

6.4Calculating Fund Flows

7Market Microstructure Research

7.1Research on Decomposing Bid-ask Spread and Estimating PIN

7.2Estimating the Microstructure Measures

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