MONETARY AND FINANCIAL STATISTIC

The course aims to present some statistical models that allow the student to improve his understanding of the financial and monetary markets.
The presentation of the statistical models will be accompanied by the presentation and use of the R software with the aim of developing the students' ability to apply the knowledge transmitted during the course to the real context. In this way students will be able to independently conduct a financial data study and present the results of their analysis.

Students at the end of the course should
1. know the basic of technical analysis
1. know the main statistical model for financial time series analysis
2. know how to apply the method and model learned during the course to the real context, using appropriate software;
3. be able to conduct, independently, a study of financial time series.

Knowledge of calculus, probability and statistics at the level of an introductory bachelor course.

- Main features of financial time series
- stock exchange index
- The technical analysis
- The statistical models to analize the price and return of a financial asset
- The Volatility model: the symmetric and asymmetric models
- high frequency data: introduction and main features

Tsay R. (2002), Analysis of Financial Time Series, Wiley.

The assessment of learning involves an open-book written test and an oral exam.
The written test, lasting 1 hour, consists of 3 exercises designed to evaluate the skills learned in the lectures for analyzing and modeling a financial time series.
The written test can be substituted with a report that encompasses technical and statistical analysis of a financial time series (e.g., stock prices, currency exchange rates, etc.).
In the oral exam, the student must show their understanding of the topics covered in the course and be capable of presenting them in a formal manner.
To obtain the minimum passing grade (18 out of 30), the student must demonstrate sufficient knowledge of all the quantitative tools presented during the course and be able to apply them to the proposed problems.
To achieve a score of 27-30 out of 30, the student must exhibit excellent knowledge and competence in using the quantitative tools presented during the lessons.

Lectures, practice sessions, and tutorials.

Italian

Accessibility, Disability and Inclusion
Accommodation and support services for students with disabilities and students with specific learning impairments
Ca’ Foscari abides by Italian Law (Law 17/1999; Law 170/2010) regarding support
services and accommodation available to students with disabilities. This includes students with
mobility, visual, hearing and other disabilities (Law 17/1999), and specific learning impairments (Law 170/2010). If you have a disability or impairment that requires accommodations (i.e., alternate testing, readers, note takers or interpreters) please contact the Disability and Accessibility Offices in Student Services: disabilita@unive.it.

written and oral