FINANCE LABORATORY

Academic year
2021/2022 Syllabus of previous years
Official course title
LABORATORIO DI FINANZA
Course code
EM5018 (AF:358788 AR:188370)
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
- High frequency data and realized volatility
- Multivariate models (factor models and principal components)
- Estimation of risk measures
- A primer on state space models with applications to finance
- Teaching material will be shared on Moodle
- Further readings on Python
Oral examination in which students will discuss an empirical project developed with Python
Lectures and practice sessions.
Italian
written
This programme is provisional and there could still be changes in its contents.
Last update of the programme: 11/03/2022