Studying at the University of Verona

Here you can find information on the organisational aspects of the Programme, lecture timetables, learning activities and useful contact details for your time at the University, from enrolment to graduation.

This information is intended exclusively for students already enrolled in this course.
If you are a new student interested in enrolling, you can find information about the course of study on the course page:

Laurea magistrale in Banca e finanza - Enrollment from 2025/2026
Academic year:
Second semester bachelor degree From 2/17/20 To 6/5/20
years Modules TAF Teacher
Simulation and Implementation of Economic Policies D Federico Perali (Coordinator)
1° 2° Enactus Verona 2020 D Paola Signori (Coordinator)
1° 2° Parlare in pubblico e economic writing D Martina Menon (Coordinator)
1° 2° Samsung Innovation Camp D Marco Minozzo (Coordinator)
secondo semestre magistrali From 2/24/20 To 5/29/20
years Modules TAF Teacher
Simulation and Implementation of Economic Policies D Federico Perali (Coordinator)
1° 2° Predictive analytics for business decisions - 2019/20 D Claudio Zoli (Coordinator)
1° 2° Professional communication for economics - 2019/20 D Claudio Zoli (Coordinator)
1° 2° Parlare in pubblico e economic writing D Martina Menon (Coordinator)
1° 2° Regulation, procurement and competition - 2019/20 D Claudio Zoli (Coordinator)
List of courses with unassigned period
years Modules TAF Teacher
1° 2° Advanced Risk and Portfolio Management Bootcamp (3 cfu) - 2019 D Roberto Reno' (Coordinator)
1° 2° Advanced Risk and Portfolio Management Bootcamp (6 cfu) - 2019 D Roberto Reno' (Coordinator)
1° 2° Elements of financial risk management D Claudio Zoli (Coordinator)
1° 2° English for business and economics D Claudio Zoli (Coordinator)
1° 2° Il Futuro Conta! D Alessandro Bucciol (Coordinator)
1° 2° Il Futuro Conta! D Alessandro Bucciol (Coordinator)
1° 2° Introduction to Java Programming D Alessandro Gnoatto (Coordinator)
1° 2° Data Analysis Laboratory with R D Marco Minozzo (Coordinator)
1° 2° Data Analysis Laboratory with R (Verona) D Marco Minozzo (Coordinator)
1° 2° Data Visualization Laboratory D Marco Minozzo (Coordinator)
1° 2° Python Laboratory D Marco Minozzo (Coordinator)
1° 2° Data Science Laboratory with SAP D Marco Minozzo (Coordinator)
1° 2° Advanced Excel Laboratory (Verona) D Marco Minozzo (Coordinator)
1° 2° Excel Laboratory (Verona) D Marco Minozzo (Coordinator)
1° 2° The fashion lab (1 ECTS) D Angela Broglia (Coordinator)
1° 2° The fashion lab (2 ECTS) D Angela Broglia (Coordinator)
1° 2° The fashion lab (3 ECTS) D Angela Broglia (Coordinator)
1° 2° Methods and tools to support strategic marketing and business management decisions - 2019 D Claudia Bazzani (Coordinator)
1° 2° Marketing Plan D Ilenia Confente (Coordinator)
1° 2° Presente e futuro del pianeta D Federico Brunetti (Coordinator)
1° 2° Programming in Matlab D Marco Minozzo (Coordinator)
1° 2° Programming in SAS D Marco Minozzo (Coordinator)
1° 2° Robo-Ethics D Giorgio Mion (Coordinator)
1° 2° Univero' - Job Orienteering festival D Paola Signori (Coordinator)

Teaching code

4S00489

Coordinator

Luigi Grossi

Credits

9

Language

Italian

Scientific Disciplinary Sector (SSD)

SECS-S/03 - ECONOMIC STATISTICS

Period

primo semestre magistrali dal Sep 30, 2019 al Dec 20, 2019.

Learning outcomes

Il corso ha lo scopo di introdurre i principali strumenti statistici utilizzati nell’analisi empirica dei dati finanziari e di fornire i concetti fondamentali della statistica per la finanza. L’obiettivo non è quindi quello di analizzare tutti i dettagli tecnici, per cui non verranno approfonditi i concetti matematici sottostanti l’analisi dei processi stocastici. Al contrario ci serviremo delle idee di base della teoria dei processi stocastici per studiare gli aspetti rilevanti dei metodi per lo studio delle serie storiche finanziarie quali la selezione, la stima e la verifica del modello più appropriato utilizzando dati reali relativi a tassi di cambio, tassi di interesse e quotazioni di borsa. Al termine dell'insegnamento gli studenti dovranno essere in grado di confrontare criticamente l'andamento delle quotazioni di diverse attività finanziarie e di stimare i parametri dei principali processi stocastici che governano la dinamica dei rendimenti finanziari.

Program

1. Financial prices and stock indexes
1.1 Price formation in financial markets
1.2 Stock indexes
- Computational methods
- Main Italian stock indexes
1.3 Correction factors for financial prices

2. Empirical Properties of Returns
2.1 Financial returns
2.2 Distributional properties of returns
2.3 Correlation properties of returns. The autocorrelation function.

3. Stochastic processes for returns
3.1 Moments: definitions and estimation
3.2 Stochastic processes for financial returns: white noise, random walk, autoregressive, moving average.
3.3 Box-Jenkins procedure: preliminary adjustments, identification, estimation and test.


4. Volatility of financial returns
4.1 Characteristics of Volatility.
4.2 Symmetric GARCH processes.

Text books
- G. M. Gallo, B. Pacini, Metodi quantitativi per i mercati finanziari, Carocci, Roma, 2013 (VII Ristampa).
- Bee M., Santi F., Finanza Quantitativa con R, Apogeo, 2013


The interaction with students will be encouraged by discussing real financial cases. Exercises will be held in the classroom by means of the freeware R statistical software and analyzing the prices of financial assets quoted in the Italian market.
All slides projected during lessons will be made available on the e-learning platform before the beginning of the course. For this reason, students are strongly invited to register to the e-learning page of the course. Lectures will be recorded. Videos will be made available the next few days to allow students to revise or to attend lessons to which they have not been able to join directly. The availability of videos is also extended to all students who are unable to attend for work reasons or because they are abroad within the Erasmus program.
Attending and passing the exam "Econometria dei Mercati Finanziari" is a suggested pre-requisite.

Reference texts
Author Title Publishing house Year ISBN Notes
Bee M., Santi F. Finanza Quantitativa con R Apogeo 2013
G. M. Gallo, B. Pacini, Metodi quantitativi per i mercati finanziari (Edizione 7) Carocci 2013

Examination Methods

Both the student's preparation will be evaluated as well as its ability to interpret and evaluate the results of the analyses based on the topics taught during the course.

The written test is compulsory. The structure of the test is as follows:
- one open question (up to 10 points, out of 30),
- two/three numerical exercises (up to 20 points, out of 30). Data will be provided for the solution of real case-studies using the basic tools learned during classes.
The oral test is optional.

Project work (optional activity. For attending students only)
It is carried out by groups of 3/4 students. The first part of the project work must be completed and sent by e-mail to the teacher for evaluation by the deadline that will be announced by the lecturer. Students will have to demonstrate that they are able to implement all the techniques studied during course through the software R.
The final version of the project work must be sent by email to the teacher for approval at least one week before the exam.
Project work should NOT be presented in the classroom.
Project Work's evaluation will entitle you to a bonus of up to 3/30 that will be added to the grade you have earned in the written test, provided the written grade is equal to or greater than 18/30. The bonus will be valid until September 2020. The bonus can be added to the written exam evaluation only once.
During the Summer session (June/July), due to the pandemic emergency, all students will give an online oral exam (Zoom platform).

Students with disabilities or specific learning disorders (SLD), who intend to request the adaptation of the exam, must follow the instructions given HERE