Marilena SIBILLO | Quantitative Methods
Marilena SIBILLO Quantitative Methods
cod. 0212400015
QUANTITATIVE METHODS
| 0212400015 | |
| DEPARTMENT OF ECONOMICS AND STATISTICS | |
| EQF6 | |
| ECONOMICS | |
| 2024/2025 |
| OBBLIGATORIO | |
| YEAR OF COURSE 3 | |
| YEAR OF DIDACTIC SYSTEM 2016 | |
| SPRING SEMESTER |
| SSD | CFU | HOURS | ACTIVITY | ||
|---|---|---|---|---|---|
| METODI QUANTITATIVI MOD1 | |||||
| SECS-S/01 | 5 | 30 | LESSONS | ||
| METODI QUANTITATIVI MOD.2 | |||||
| SECS-S/06 | 5 | 30 | LESSONS | ||
| Exam | Date | Session | |
|---|---|---|---|
| SIBILLO | 04/02/2025 - 10:30 | SESSIONE ORDINARIA | |
| SIBILLO | 04/02/2025 - 10:30 | SESSIONE DI RECUPERO | |
| SIBILLO | 16/04/2025 - 10:30 | SESSIONE ORDINARIA |
| Objectives | |
|---|---|
| THE TEACHING OF QUANTITATIVE METHODS PROMOTES IN-DEPTH STUDY OF QUANTITATIVE TOOLS FOR ECONOMIC AND FINANCIAL ANALYSIS. IN PARTICULAR, FINANCIAL CALCULATION METHODOLOGIES AND METHODS AND MODELS FOR ANALYZING AND FORECASTING ECONOMIC AND FINANCIAL QUANTITIES ARE EXPLORED. THE OVERALL PURPOSE OF THE COURSE IS TWOFOLD: - TO EQUIP STUDENTS WITH THE MATHEMATICAL TOOLS NECESSARY TO UNDERSTAND THE MEANING OF FINANCIAL QUANTITIES AND TO ADEQUATELY PERFORM CALCULATIONS REFERRING TO CAPITAL DYNAMICS - TO EQUIP STUDENTS WITH THE STATISTICAL TOOLS FOR ANALYZING TIME SERIES AND GENERATING FORECASTS OF DYNAMIC PHENOMENA KNOWLEDGE AND UNDERSTANDING STUDENTS WILL LEARN: - TO QUANTIFY MONEY HOLDINGS, MANAGE BOND FLOWS AND PORTFOLIOS, AND CONTROL THEIR INTEREST RATE IMPACT - TO ANALYZE DYNAMIC ECONOMIC AND FINANCIAL PHENOMENA, IDENTIFY THE MAIN COMPONENTS OF TIME SERIES, IDENTIFY AND ESTIMATE STATISTICAL MODELS FOR ANALYZING AND FORECASTING TIME DATA. ABILITY TO APPLY KNOWLEDGE AND UNDERSTANDING. THE QUANTITATIVE METHODS COURSE WILL ENABLE THE STUDENT TO: - MAKE CHOICES AMONG MULTIPLE FINANCIAL PROJECTS, ACQUIRE INDEPENDENT THINKING AND CRITICAL THINKING SKILLS IN HANDLING PROBLEMS RELATED TO THE AVAILABILITY AND MOVEMENT OF MONEY OVER TIME - IDENTIFY AND ANALYZE THE DYNAMICS OF TEMPORAL DATA, INCLUDING USING THE NECESSARY COMPUTATIONAL TOOLS, GENERATE FORECASTS OF ECONOMIC AND FINANCIAL PHENOMENA. TRANSVERSAL SKILLS UPON COMPLETION OF THE COURSE, STUDENTS WILL BE ABLE TO ADDRESS AND SOLVE BASIC FINANCIAL PROBLEMS PRESENT IN THE EVERYDAY LIVES OF SAVERS, INVESTORS, AND CONSUMERS, AND TO HANDLE TOOLS AND TECHNIQUES FOR STATISTICAL ANALYSIS OF DYNAMIC PHENOMENA. |
| Prerequisites | |
|---|---|
| THE COURSES OF MATHEMATICAL METHODS FOR ECONOMICS AND STATISTICS ARE RECOMMENDED. |
| Contents | |
|---|---|
| THE QUANTITATIVE METHODS COURSE CONSISTS OF TWO MODULES: MODULE I - FINANCIAL MATHEMATICS - 30 HOURS OF FRONTAL LECTURE WITH SOLUTION OF EXERCISES AND APPLICATIONS FOR EACH TOPIC. EXERCISES WILL BE SOLVED ALSO IN SPECIFIC LESSONS. MATHEMATICAL ASSUMPTIONS FOR THE STUDY OF FINANCIAL QUANTITIES. FUNDAMENTAL QUANTITIES AND FINANCIAL REGIMES. FINANCIAL LAWS AND PROPERTIES. ANNUITIES, AMORTIZATIONS. FINANCIAL MARKET STRUCTURED BY MATURITY. ARBITRAGE. INFLATION, COMPOUNDING, LEASING, CONSUMER CREDIT. SELECTION CRITERIA. DURATION. VOLATILITY AND CONVEXITY. IMMUNIZATION OF DEBT PORTFOLIOS. MODULE II – TIME SERIES ANALYSIS- 30 HOURS OF FRONTAL LECTURE INCLUDING EXERCISES, REAL DATA APPLICATION AND LAB. EXPLORATORY ANALYSIS OF TIME SERIES. THE LINEAR REGRESSION MODEL. INTRODUCTION TO STOCHASTIC PROCESS. THE AUTOCOVARIANCE AND AUTOCORRELATION FUNCTIONS. MOVING AVERAGE PROCESS (MA), AUTOREGRESSIVE PROCESS (AR) AND ARMA PROCESS. ARIMA PROCESS AND SEASONAL ARIMA PROCESS. FORECAST GENERATION AND EVALUATION. INTRODUCTION TO NON-LINEAR TIME SERIES ANALYSIS. EMPIRICAL APPLICATION ON OBSERVED TIME SERIES. |
| Teaching Methods | |
|---|---|
| THE QUANTITATIVE METHODS COURSE CONSISTS OF 60 HOURS OF CLASSROOM TEACHING. LECTURES WILL BE FRONTAL AND CARRIED OUT WITH CONSTANT ATTENTION TO THE THEORETICAL BASIS AND TO APPLICATIONS AND EXERCISES, WHICH WILL BE TREATED AT THE SAME TIME AS THE PRESENTATION OF THEORETICAL TOPICS. WITHIN THE COURSE, 30 HOURS WILL BE DEDICATED TO FINANCIAL MATHEMATICS AND 30 TO THE TIME SERIES STATISTICAL ANALYSIS |
| Verification of learning | |
|---|---|
| THE VERIFICATION OF LEARNING IS ORIENTED TO STIMULATE THE STUDY AND UNDERSTANDING OF THE TOPICS COVERED DURING THE COURSE BY STUDENTS, WITH PARTICULAR ATTENTION TO THE ABILITY TO APPLY THEM TO CONCRETE SITUATIONS. THE QUANTITATIVE METHODS COURSE CONSISTS OF TWO MODULES: MODULE I - FINANCIAL MATHEMATICS - 30 HOURS OF LECTURE WITH SOLUTION OF EXERCISES AND APPLICATIONS FOR EACH TOPIC. PRACTICE LECTURES WILL BE GIVEN ON THE FOLLOWING: MATHEMATICAL ASSUMPTIONS FOR THE STUDY OF FINANCIAL QUANTITIES. FUNDAMENTAL QUANTITIES AND FINANCIAL REGIMES. FINANCIAL LAWS AND PROPERTIES. YIELDS, DEPRECIATION. FINANCIAL MARKET STRUCTURED BY MATURITIES. ARBITRAGE. INFLATION, ANATOCISM, LEASING, CONSUMER CREDIT. SELECTION CRITERIA. DURATION. VOLATILITY AND CONVEXITY. IMMUNIZATION OF BOND PORTFOLIOS. MODULE II - APPLIED STATISTICS- 30 HOURS OF LECTURE INCLUDING EXERCISES AND COMPUTATIONAL LABORATORY WITH DEDICATED STATISTICAL SOFTWARE WITH APPLICATIONS ON REAL TIME SERIES. IN DETAIL, THE CONTENTS WILL COVER: EXPLORATORY TIME SERIES ANALYSIS. THE LINEAR REGRESSION MODEL. INTRODUCTION TO STOCHASTIC PROCESSES. THE AUTOCOVARIANCE FUNCTION AND THE GLOBAL AND PARTIAL AUTOCORRELATION FUNCTION. MOVING AVERAGE (MA), AUTOREGRESSIVE (AR) AND AUTOREGRESSIVE MOVING AVERAGE (ARMA) PROCESSES. SEASONAL ARIMA AND ARIMA PROCESSES. (14 HOURS). THE DETAILED SYLLABUS OF THE COURSE DIFFERENTIATED INTO THE TWO MODULES IS AVAILABLE ON THE LECTURERS' WEBSITES. |
| Texts | |
|---|---|
| MODULE I: S. C. KELLISON, 2008, THE THEORY OF INTEREST, MCGRAW-HILL EDUCATION S. A. BROVERMAN, 2015, MATHEMATICS OF INVESTMENT AND CREDIT - ACTEX ACADEMIC SERIES MODULE II: SHUMWAY R.H. AND STOFFER D.S. TIME SERIES ANALYSIS AND ITS APPLICATIONS, WITH R EXAMPLES (3RD EDITION), SPRINGER, 2011 BROCKWELL, PETER J., AND RICHARD A. DAVIS. TIME SERIES: THEORY AND METHODS. SPRINGER SCIENCE & BUSINESS MEDIA, 2009 |
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