STATISTICAL ANALYSIS OF MARKETS

Academic year
2022/2023 Syllabus of previous years
Official course title
STATISTICAL ANALYSIS OF MARKETS
Course code
EM1064 (AF:358713 AR:187379)
Modality
On campus classes
ECTS credits
6
Degree level
Master's Degree Programme (DM270)
Educational sector code
SECS-S/03
Period
2nd Term
Course year
2
Where
TREVISO
Moodle
Go to Moodle page
The course aims to introduce some statistical tools for time series analysis needful for better understanding international markets and to develop students' skills to apply the knowledge transmitted during the course to the real context. In this way, students will be able to independently conduct a study of international markets and present the results of their analysis.
Students at the end of the course should:
1. Know the main models for the analysis of data collected over time (historical series);
2. Know how to apply the knowledge learned during the course to the real context, using appropriate software;
3. Be able to autonomously conduct a study of a historical series and to present the results of the analysis.
Basic knowledge of calculus, probability and statistics at the level of an introductory bachelor course.
During the course the following topics will be analyzed:

Time series: definition and features
Descriptive techniques
Statistical models for time series: ARIMA model.
Integrated and cointegrated time series
The Autoregressive Distributed Lag Model
The Error Correction Model
Forecasting.

In order to support the theoretical knowledge acquired during the course, each theme may be developed also through the use of the statistical software R.

- On-line material available in the moodle Platform from the course web site
- Book
in English: Cowpertwait P.S.P. and Metcalfe A.V.(2009) Introductory time series with R, Dordrecht, Springer
in Italian: Di Fonzo, T. e Lisi F. Serie storiche economiche. Analisi statistiche e applicazioni, Roma, Carocci (2005)

The verification of learning takes place through a written test on the program presented in class, both in the form of exercises and analysis of time series
Conventional with lectures in class
English
written
Definitive programme.
Last update of the programme: 13/09/2022