MONETARY AND FINANCIAL STATISTIC

Academic year
2019/2020 Syllabus of previous years
Official course title
STATISTICA PER IL MERCATO MONETARIO E FINANZIARIO
Course code
EM5016 (AF:278972 AR:160026)
Modality
On campus classes
ECTS credits
6
Degree level
Master's Degree Programme (DM270)
Educational sector code
SECS-S/03
Period
1st Term
Course year
2
Where
VENEZIA
Moodle
Go to Moodle page
The course aims to present some statistical models that allow the student to improve his understanding of the financial and monetary markets.
The presentation of the statistical models will be accompanied by the presentation and use of the R software with the aim of developing the students' ability to apply the knowledge transmitted during the course to the real context. In this way students will be able to independently conduct a financial data study and present the results of their analysis.
Students at the end of the course should
1. know the basic of technical analysis
1. know the main statistical model for financial time series analysis
2. know how to apply the method and model learned during the course to the real context, using appropriate software;
3. be able to conduct, independently, a study of financial time series.
Basic knowledge of calculus, probability and statistics at the level of an introductory bachelor course.
- Main features of financial time series
- stock exchange index
- The technical analysis
- The statistical models to analize the price and return of a financial asset
- The Volatility model: the symmetric and asymmetric models
- high frequency data: introduction and main features
Tsay R. (2002), Analysis of Financial Time Series, Wiley.
Grading is based on a final written exam. The exam is closed-notes and closed-book, but you are allowed to use a pocket calculator. Failing to register for the exam is sufficient cause for denying admission.
Lectures, practice sessions, and tutorials.
Italian
written and oral
Definitive programme.
Last update of the programme: 11/10/2019