# 75371 - Statistics of Financial Markets

• from Sep 19, 2023 to Oct 25, 2023

## Learning outcomes

At the end of the course the student knows how data of the financial markets, equity indexes construction, measurement of return and risk of portfolios, techniques for the empirical estimation of the main trends in financial market prices both through analytical approach (smoothing and forecasting mean and variance) and graphical approach (technical analysis). The student is able to draw a trading strategy based on statistical confidence intervals or on probabilized  subjective  scenario.

## Course contents

1.      Trend extraction (modelling)

·  Basic time series decomposition.

. Trend extraction with technical analysis (graphical approach and Moving Averages)

· Trend extraction with statistical model: Deterministic an stochastic trends

· Trend extraction with supervised machine learning tecniques

·        Basic elements of a trading strategy (probabilized scenarios through security analysis).

·        Active management techniques using statistical inference and technical analysis.

·        Chart patterns through trend's confidence intervals.

3.  Measuring (and benchmarking) trading performances:

·        Forecasting errors

·        Cost Functions (CFs) in financial markets

i.      Quantitative CFs

ii.      Qualitative CFs

iii.      Subjective CFs

·        Single TS evaluation

·        The comparisons of rival TS

i.      Descriptive approach

ii.      Inferential approach

Diebold F.X. (2000) “Elements of Forecasting” South-Western ed. Cap 2, 4 e 12

On-linecourse material

## Teaching methods

Teacher's lectures supplemented with smaller discussion sections,  tutorials, or laboratory sessions for testing statistical models ane building trading strategies.

For students who intend to attend the laboratory session in person, it is necessary to carry out a training session regarding safety [https://elearning-sicurezza.unibo.it/] in e-learning mode (modules 1 and 2)

## Assessment methods

The final test aims to assess the achievement of the following learning objectives:

• in-depth knowledge of the statistical tools discussed during the lectures

• ability to use these tools to analyze the economic and financial phenomena

• ability to use the results in order to interpret the phenomenon under study and achieve decision-making processes.

A written test containg both theoretical questions and exercices is madatory. For each question a score from 0 to 36 is provided. 6 points for a non-answer. The final score of the written test is obtained as the average of the scores.

During the test is not allowed any materials such as textbooks, notes, computer media.

To take the exam you must pre-register on AlmaEsami

Those who do not succeed to enroll by the due date, are required to report promptly (and in any event before the official closing of the subscription lists) the problem to the Secretary's office. The teacher shall have the right to admit to the examinations.

It will be possible to inspect the test and ask for clarification at the date of verbalization

The possibility of using alternative hours of receipt to inspect the task is reserved for exceptional cases, with a valid reason.

The verbalization can occur in the absence of the student.

## Teaching tools

Teacher's slidesComputer sessions with Excel and Visual Trader

## Office hours

See the website of Andrea Guizzardi

### SDGs

This teaching activity contributes to the achievement of the Sustainable Development Goals of the UN 2030 Agenda.