FINANCE LABORATORY

Academic year
2022/2023 Syllabus of previous years
Official course title
LABORATORIO DI FINANZA
Course code
EM5018 (AF:396765 AR:214272)
Modality
On campus classes
ECTS credits
6
Degree level
Master's Degree Programme (DM270)
Educational sector code
SECS-P/05
Period
4th Term
Course year
1
Where
VENEZIA
Moodle
Go to Moodle page
This is a course in financial econometrics with an emphasis on the concepts, techniques and tools required for data management in finance. The focus will be on the statistical modeling of financial time series (asset prices and returns) with an emphasis on univariate e multivariate models.
The learning goals/objectives of the course are: (1) survey the relevant theoretical and practical techniques for risk measures, volatility modelling and multivariate analysis; (2) use of python to get hands-on experience with real world data.
Econometrics
Statistics
Probability
Topics to be covered include:

- An Introduction to Python for financial applications
- A review on univariate volatility modelling
- Multivariate models (factor models and principal components)
- A primer on state space models with applications to finance
- Teaching material will be shared on Moodle
- Further readings on Python
The exam consists on an oral examination in which students will discuss an empirical project developed with Python.
Lectures and practice sessions.
Italian
oral
Definitive programme.
Last update of the programme: 19/07/2022