The goal of the course is to introduce student in modern econometric and time series tools for analyzing and modeling of quantitative financial information.
The course provides students with theoretical and practical knowledge of the statistical and computational skills needed for the creation, implementation, and evaluation of the time series models used by the financial sector to manage risk and develop investment strategies.
1. Prices, returns stock indexes
2. Introduction to technical analysis
3. Stylized facts of financial returns
4. ARMA models for financial returns
5. Conditional volatility models
- G. M. Gallo, B. Pacini, Metodi quantitativi per i mercati finanziari, Carocci, Roma, 2002.
- Additional teaching notes will be distributed duting the course.
Types of classes: lectures, seminars and exercises
Written exam. Oral exam is optional.