Course unit content
Contenuti del corso: <br />
Contents <br />
1. Examination of quantitative technical analysis <br />
Oscillators and principal operational bookmarks. <br />
<br />
2. Examination of the ARIMA model <br />
Overview of the concept of the stochastic process. Moments of stochastic process and their estimation. Some types of stochastic process: white noise, random walk, autoregressive, moving average. Various phases of the Box-Jenkins method: preliminary treatment, identification, estimation, validation. <br />
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3. Characteristics of volatility <br />
Concept of volatility. Volatility models. ARCH and GARCH models. <br />
<br />
4. Forecasting <br />
Definition of the concept of forecasting. Measuring the accuracy of predictions: the mean absolute error (MAE), the mean square error (MSE), the inequality coefficient of Theil. <br />
Exponential smoothing <br />
<br />
A number of sessions will be held in the computer lab on real financial time series using the Eviews program. <br />
Bibliography
Bibliografia consigliata: Recommended texts <br />
Handouts on all topics covered in the course (available at the Faculty photocopy centre). <br />
<br />
Further reading <br />
BUZZIGOLI L., Modelli di analisi delle serie temporali finanziarie. Rassegna ed applicazioni di modelli di tipo ARCH, Dipartimento Statistico, Universita di Firenze, 1994. <br />
DI FONZO T., LISI F., Complementi di statistica economica. Analisi delle serie storiche univariate, Cleup, Padova, 2000 <br />
FRANSES P. H., VAN DIJK D., Non linear time series models in empirical finance, Cambridge University Press, Cambridge, 2000. <br />
HAMILTON J., Econometria delle serie storiche, Translation by Sitzia B., Monduzzi Editore, 1995. <br />
MILLS T. C., The econometric modelling of financial time series, Cambridge University Press, Cambridge, 1999 <br />
