Learning objectives
The interaction between statistics and finance is an ongoing process: the solution of statistical problems is the necessary condition for evaluating the elements of uncertainty in the markets. The course aims to provide the basic tools most suitable for the analysis of some key aspects of monetary and financial markets. Particular attention will be paid to the historical series of financial issues: exchange rates, interest rates, prices and stock returns, prices and yields of derivatives.
Prerequisites
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Course unit content
/ Elementary theory of stochastic processes for stationary series
1. Recalls elements of probability 'for random vectors.
2. Transformation of univariate and multivariate random variables.
3. Gaussian and White Noise processes.
4. Brief introduction to non-stationary processes of type Random Walk
/ Empirical evidence of the observed time series
1. Empirical characteristics of the time series of financial returns. Formulas combinations of multi-period returns.
2. The shape of the distribution of returns. Test of symmetry, kurtosis, and normality .
3. The time dependence (linear and nonlinear) of returns. Autocorrelation function and tests of significance 'associates.
4. Autoregressive processes for stationary series of returns and transforms associated with them.
/ Overview of analysis of the trend of stock market prices and moving averages
Full programme
/ Elementary theory of stochastic processes for stationary series
1. Recalls elements of probability 'for random vectors.
2. Transformation of univariate and multivariate random variables.
3. Gaussian and White Noise processes.
4. Brief introduction to non-stationary processes of type Random Walk
/ Empirical evidence of the observed time series
1. Empirical characteristics of the time series of financial returns. Formulas combinations of multi-period returns.
2. The shape of the distribution of returns. Test of symmetry, kurtosis, and normality .
3. The time dependence (linear and nonlinear) of returns. Autocorrelation function and tests of significance 'associates.
4. Autoregressive processes for stationary series of returns and transforms associated with them.
/ Overview of analysis of the trend of stock market prices and moving averages
Bibliography
Slides on all topics of the course (available from the office of the Faculty photocopies) and supplementary teaching materials made available during the course.
Books for deepening
DE LUCA G., Metodi statistici per le decisioni finanziarie, A.A. 2011/2012, Università di Napoli Parthenope
(http://www.economia.uniparthenope.it/siti_docenti/SitoDocentiStandard/Visualizza_cartelle.asp)
GALLO G.M. e PACINI B. , Metodi quantitativi per i mercati finanziari, Carrocci Editore, Firenze, 2008.
LAURINI F., Elementi di analisi delle serie storiche finanziarie, Dipartimento di Economia, Università di Parma, 2012.
PELAGATTI M.M., Statistica dei Mercati Monetari e Finanziari , Milano ,2009. (http://www.statistica.unimib.it/utenti/p_matteo/lessons/SMMF/StatFin.pdf)
TSAY, R. , Analysis of financial time series, Wiley, New York, 2002
Teaching methods
Oral lessons. In the course of the lessons will be used to using Microsoft Excel and Gretl. Gretl is an acronym for Gnu Regression, Econometrics and Time-series Library. It is a software package for econometrics that is easy to use and powerful enough. Gretl is distributed as free software that can be downloaded from http://gretl.sourceforge.net and installed on your personal computer
Assessment methods and criteria
The exam is in written form. There is no form of oral examination and there will be NO exceptions.
The examination consists of one written in two parts (one for the form of prof. Gozzi, one for the module prof.sa De Donno).
Each party consists of two questions, one of which is a problem (similar to those seen in the classroom) and the other a question "open" theory.
Each of the two parts of the script will be evaluated in thirty, and the final grade will be the average of the two marks (rounded up). To overcome the script will need to bring a vote greater than or equal to 10 in each of the two parties and an average greater than or equal to 18.
The total duration of the test is 90 minutes.
Will be allowed to use the calculator, but will not be allowed to inspect any type of material.
To take the exam you must present a form of identification (preferably the university libretto).
Other information
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