Il corso ha lo scopo di introdurre i principali strumenti statistici utilizzati nell’analisi empirica dei dati finanziari e di fornire i concetti fondamentali della statistica per la finanza. L’obiettivo non è quindi quello di analizzare tutti i dettagli tecnici, per cui non verranno approfonditi i concetti matematici sottostanti l’analisi dei processi stocastici. Al contrario ci serviremo delle idee di base della teoria dei processi stocastici per studiare gli aspetti rilevanti dei metodi per lo studio delle serie storiche finanziarie quali la selezione, la stima e la verifica del modello più appropriato utilizzando dati reali relativi a tassi di cambio, tassi di interesse e quotazioni di borsa. Al termine dell'insegnamento gli studenti dovranno essere in grado di confrontare criticamente l'andamento delle quotazioni di diverse attività finanziarie e di stimare i parametri dei principali processi stocastici che governano la dinamica dei rendimenti finanziari.
1. Financial prices and stock indexes
1.1 Price formation in financial markets
1.2 Stock indexes
- Computational methods
- Main Italian stock indexes
1.3 Correction factors for financial prices
2. Empirical Properties of Returns
2.1 Financial returns
2.2 Distributional properties of returns
2.3 Correlation properties of returns. The autocorrelation function.
3. Stochastic processes for returns
3.1 Moments: definitions and estimation
3.2 Stochastic processes for financial returns: white noise, random walk, autoregressive, moving average.
3.3 Box-Jenkins procedure: preliminary adjustments, identification, estimation and test.
4. Volatility of financial returns
4.1 Characteristics of Volatility.
4.2 Symmetric GARCH processes.
- G. M. Gallo, B. Pacini, Metodi quantitativi per i mercati finanziari, Carocci, Roma, 2013 (VII Ristampa).
- Bee M., Santi F., Finanza Quantitativa con R, Apogeo, 2013
The interaction with students will be encouraged by discussing real financial cases. Exercises will be held in the classroom by means of the freeware R statistical software and analyzing the prices of financial assets quoted in the Italian market.
All slides projected during lessons will be made available on the e-learning platform before the beginning of the course. For this reason, students are strongly invited to register to the e-learning page of the course. Lectures will be recorded. Videos will be made available the next few days to allow students to revise or to attend lessons to which they have not been able to join directly. The availability of videos is also extended to all students who are unable to attend for work reasons or because they are abroad within the Erasmus program.
|Bee M., Santi F.||Finanza Quantitativa con R||Apogeo||2013|
|G. M. Gallo, B. Pacini,||Metodi quantitativi per i mercati finanziari (Edizione 7)||Carocci||2013|
Both the student's preparation will be evaluated as well as its ability to interpret and evaluate the results of the analyses based on the topics taught during the course.
The written test is compulsory. The structure of the test is as follows:
- one open question (up to 10 points, out of 30),
- two/three numerical exercises (up to 20 points, out of 30). Data will be provided for the solution of real case-studies using the basic tools learned during classes.
The oral test is optional.
Project work (optional activity. For attending students only)
It is carried out by groups of 3/4 students. The first part of the project work must be completed and sent by e-mail to the teacher for evaluation by the deadline that will be announced by the lecturer. Students will have to demonstrate that they are able to implement all the techniques studied during course through the software R.
The final version of the project work must be sent by email to the teacher for approval at least one week before the exam.
Project work should NOT be presented in the classroom.
Project Work's evaluation will entitle you to a bonus of up to 3/30 that will be added to the grade you have earned in the written test, provided the written grade is equal to or greater than 18/30. The bonus will be valid until September 2020. The bonus can be added to the written exam evaluation only once.