Massimiliano MENZIETTI | FINANCIAL MARKETS ANALYSIS

cod. 0222200045

FINANCIAL MARKETS ANALYSIS

	0222200045
	DEPARTMENT OF ECONOMICS AND STATISTICS
	EQF7
	ECONOMICS
	2024/2025

CURRICULUM ECONOMICS AND FINANCE

	OBBLIGATORIO
	YEAR OF COURSE 2
	YEAR OF DIDACTIC SYSTEM 2018
	AUTUMN SEMESTER

TEACHING UNITS

	SSD	CFU	HOURS	ACTIVITY	TYPE OF ACTIVITY
1	ANALISI DEI MERCATI FINANZIARI
	SECS-S/01	5	30	LESSONS	COMPULSORY SUBJECTS, CHARACTERISTIC OF THE CLASS
2	ANALISI DEI MERCATI FINANZIARI
	SECS-S/06	5	30	LESSONS	COMPULSORY SUBJECTS, CHARACTERISTIC OF THE CLASS

PROFESSORS

	ALESSANDRA AMENDOLA1 T Curriculum
	MASSIMILIANO MENZIETTI2 Curriculum

EXAMS

Exam	Date	Session
AMENDOLA	18/12/2024 - 10:00	SESSIONE ORDINARIA
AMENDOLA	18/12/2024 - 10:00	SESSIONE DI RECUPERO
AMENDOLA	14/01/2025 - 10:00	SESSIONE ORDINARIA
AMENDOLA	14/01/2025 - 10:00	SESSIONE DI RECUPERO

	Objectives
	KNOWLEDGE AND UNDERSTANDING THE COURSE AIMS AT PROVIDING THE STUDENTS WITH THE BASIC METHODOLOGICAL TOOLS FOR UNDERSTANDING ADVANCED QUANTITATIVE MODELS FOR THE ANALYSIS OF FINANCIAL MARKETS AND THEIR RISK STRUCTURE. THE STUDENTS ARE EXPECTED TO BE ABLE TO CRITICALLY CHOOSE THE MOST APPROPRIATE MODEL FOR A GIVEN CASE STUDY OF INTEREST APPLYING KNOWLEDGE AND UNDERSTANDING THE COURSE AIMS AT HELPING THE STUDENTS TO DEVELOP THE ABILITY OF USING ADVANCED QUANTITATIVE MODELS FOR THE ANALYSIS OF FINANCIAL MARKETS AND DEAL WITH THE APPLICATION OF THESE MODELS TO SIMPLE FINANCIAL INSTRUMENTS AND DERIVATIVES

KNOWLEDGE AND UNDERSTANDING
THE COURSE AIMS AT PROVIDING THE STUDENTS WITH THE BASIC METHODOLOGICAL TOOLS FOR UNDERSTANDING ADVANCED QUANTITATIVE MODELS FOR THE ANALYSIS OF FINANCIAL MARKETS AND THEIR RISK STRUCTURE. THE STUDENTS ARE EXPECTED TO BE ABLE TO CRITICALLY CHOOSE THE MOST APPROPRIATE MODEL FOR A GIVEN CASE STUDY OF INTEREST

APPLYING KNOWLEDGE AND UNDERSTANDING
THE COURSE AIMS AT HELPING THE STUDENTS TO DEVELOP THE ABILITY OF USING ADVANCED QUANTITATIVE MODELS FOR THE ANALYSIS OF FINANCIAL MARKETS AND DEAL WITH THE APPLICATION OF THESE MODELS TO SIMPLE FINANCIAL INSTRUMENTS AND DERIVATIVES

	Prerequisites
	BASIC KNOWLEDGE OF STATISTICAL INFERENCE AND FINANCIAL MATHEMATICS.

	Contents
	MODULE A EXPLORATORY ANALYSIS OF FINANCIAL TIME SERIES. THE MEASUREMENT OF RETURNS. THE MEASUREMENT OF VOLATILITY: DESCRIPTIVE APPROACHES BASED ON MOVING AVERAGES, REALIZED VOLATILITY, AND OTHER VOLATILITY MEASURES. EXAMPLES WITH THE HELP OF R SOFTWARE (6 HOURS) STOCHASTIC MODELS FOR RETURN LEVELS: ARMA MODELS AND VARIANTS. IDENTIFICATION, ESTIMATION AND PREDICTION. EXAMPLES WITH THE HELP OF R SOFTWARE (6 HOURS) STOCHASTIC VOLATILITY MODELS: ARCH AND GARCH MODELS AND THEIR VARIANTS. PREDICTING VOLATILITY. CASE STUDIES AND APPLICATIONS ON REAL DATA WITH THE HELP OF R SOFTWARE (12 HOURS) RISK ASSESSMENT IN FINANCIAL MARKETS: VALUE AT RISK (VAR) AND EXPECTED SHORTFALL (ES). BACKTESTING PROCEDURES FOR EVALUATING VAR. CASE STUDIES AND APPLICATIONS ON REAL DATA WITH THE HELP OF R SOFTWARE (6 HOURS). MODULE B PORTFOLIO THEORY: RISK AVERSION, EXPECTED UTILITY CRITERION AND CERTAIN EQUIVALENT; RISK-RETURN ANALYSIS: INDIFFERENCE CURVES, EQUIVALENT, EFFICIENT AND OPTIMAL PORTFOLIOS. (6 HOURS) THE MARKOWITZ MODEL: THE CASE OF N RISKY SECURITIES, SHORT SELLING, THE INTRODUCTION OF THE RISKY-FREE INVESTMENT. THE CAPITAL MARKET-LINE. EXAMPLES AND EXERCISES WITH THE HELP OF R SOFTWARE (4 HOURS.) THE CAPM: THE SECURITY MARKET LINE, SYSTEMATIC RISK AND DIVERSIFIABLE RISK. CAPM AND FACTORIAL MODELS. THE ARBITRAGE PRICING THEORY (APT). EXAMPLES AND EXERCISES WITH THE HELP OF R SOFTWARE (6 HOURS) FINANCIAL DERIVATIVES: TYPES OF TRADERS IN THE DERIVATIVES MARKET: HEDGERS, SPECULATORS AND ARBITRAGEURS. FUTURES: INTRODUCTION, DEFINITIONS AND EQUILIBRIUM PRICE. THE HEDGE RATIO. EXAMPLES AND EXERCISES WITH THE HELP OF EXCEL SOFTWARE (4 HOURS). OPTIONS: INTRODUCTION AND DEFINITIONS. EUROPEAN CALLS AND PUTS: UPPER AND LOWER BOUNDS FOR OPTION PRICES, PUT-CALL PARITY. THE BINOMIAL MODEL. AMERICAN OPTIONS. THE BLACK & SCHOLES MODEL. THE GREEK LETTERS AND THE PORTFOLIO INSURANCE. EXAMPLES AND EXERCISES WITH THE HELP OF EXCEL SOFTWARE (10 HOURS).

Contents

MODULE A
EXPLORATORY ANALYSIS OF FINANCIAL TIME SERIES. THE MEASUREMENT OF RETURNS. THE MEASUREMENT OF VOLATILITY: DESCRIPTIVE APPROACHES BASED ON MOVING AVERAGES, REALIZED VOLATILITY, AND OTHER VOLATILITY MEASURES. EXAMPLES WITH THE HELP OF R SOFTWARE (6 HOURS)
STOCHASTIC MODELS FOR RETURN LEVELS: ARMA MODELS AND VARIANTS. IDENTIFICATION, ESTIMATION AND PREDICTION. EXAMPLES WITH THE HELP OF R SOFTWARE (6 HOURS)
STOCHASTIC VOLATILITY MODELS: ARCH AND GARCH MODELS AND THEIR VARIANTS. PREDICTING VOLATILITY. CASE STUDIES AND APPLICATIONS ON REAL DATA WITH THE HELP OF R SOFTWARE (12 HOURS)
RISK ASSESSMENT IN FINANCIAL MARKETS: VALUE AT RISK (VAR) AND EXPECTED SHORTFALL (ES). BACKTESTING PROCEDURES FOR EVALUATING VAR. CASE STUDIES AND APPLICATIONS ON REAL DATA WITH THE HELP OF R SOFTWARE (6 HOURS).
MODULE B
PORTFOLIO THEORY: RISK AVERSION, EXPECTED UTILITY CRITERION AND CERTAIN EQUIVALENT; RISK-RETURN ANALYSIS: INDIFFERENCE CURVES, EQUIVALENT, EFFICIENT AND OPTIMAL PORTFOLIOS. (6 HOURS)
THE MARKOWITZ MODEL: THE CASE OF N RISKY SECURITIES, SHORT SELLING, THE INTRODUCTION OF THE RISKY-FREE INVESTMENT. THE CAPITAL MARKET-LINE. EXAMPLES AND EXERCISES WITH THE HELP OF R SOFTWARE (4 HOURS.)
THE CAPM: THE SECURITY MARKET LINE, SYSTEMATIC RISK AND DIVERSIFIABLE RISK. CAPM AND FACTORIAL MODELS. THE ARBITRAGE PRICING THEORY (APT). EXAMPLES AND EXERCISES WITH THE HELP OF R SOFTWARE (6 HOURS)
FINANCIAL DERIVATIVES: TYPES OF TRADERS IN THE DERIVATIVES MARKET: HEDGERS, SPECULATORS AND ARBITRAGEURS. FUTURES: INTRODUCTION, DEFINITIONS AND EQUILIBRIUM PRICE. THE HEDGE RATIO. EXAMPLES AND EXERCISES WITH THE HELP OF EXCEL SOFTWARE (4 HOURS).
OPTIONS: INTRODUCTION AND DEFINITIONS. EUROPEAN CALLS AND PUTS: UPPER AND LOWER BOUNDS FOR OPTION PRICES, PUT-CALL PARITY. THE BINOMIAL MODEL. AMERICAN OPTIONS. THE BLACK & SCHOLES MODEL. THE GREEK LETTERS AND THE PORTFOLIO INSURANCE. EXAMPLES AND EXERCISES WITH THE HELP OF EXCEL SOFTWARE (10 HOURS).

	Teaching Methods
	THE COURSE COMPRISES 60 HOURS OF IN-PERSON TEACHING SESSIONS THAT INCLUDE EXERCISES. THE LESSONS OF MODULE A AND B WILL BE SUPPORTED BY MULTIMEDIA AND WILL COVER THEORETICAL TOPICS. SIMULATED AND REAL-LIFE EXAMPLES AND CASE STUDIES WILL BE PRESENTED WITH THE HELP OF R AND EXCEL SOFTWARES TO AID IN UNDERSTANDING THE CONCEPTS. THIS WILL HELP IN APPLYING THE THEORETICAL KNOWLEDGE PRACTICALLY AND INTERPRETING THE RESULTS IN REAL-LIFE SCENARIOS.

Teaching Methods

THE COURSE COMPRISES 60 HOURS OF IN-PERSON TEACHING SESSIONS THAT INCLUDE EXERCISES. THE LESSONS OF MODULE A AND B WILL BE SUPPORTED BY MULTIMEDIA AND WILL COVER THEORETICAL TOPICS. SIMULATED AND REAL-LIFE EXAMPLES AND CASE STUDIES WILL BE PRESENTED WITH THE HELP OF R AND EXCEL SOFTWARES TO AID IN UNDERSTANDING THE CONCEPTS. THIS WILL HELP IN APPLYING THE THEORETICAL KNOWLEDGE PRACTICALLY AND INTERPRETING THE RESULTS IN REAL-LIFE SCENARIOS.

	Verification of learning
	MODULE A . DURING THE FINAL EXAM, STUDENTS WILL BE REQUIRED TO DISCUSS THE PROJECT WORK AND TAKE WRITTEN TEST ON TOPICS COVERED IN THE COURSE. THE PROJECT WORK SHOULD BE DONE IN GROUPS OF 1-3 STUDENTS AND SHOULD INVOLVE THE APPLICATION OF THE METHODS AND TECHNIQUES PRESENTED DURING THE COURSE TO REAL DATA USING THE R SOFTWARE. CONTENTS AND METHODS OF CARRYING OUT THE PROJECT WORK MUST BE AGREED UPON WITH THE TEACHER DURING THE COURSE FOLLOWING THE DETAILED GUIDELINES THAT WILL BE PROVIDED AT THE BEGINNING OF THE COURSE AND UPON REQUEST OF THE STUDENTS. THE WRITTEN TEST AIMS AT ASSESSING THE ABILITY TO APPLY THE ACQUIRED KNOWLEDGE AND THE ANALYTICAL INSTRUMENTS. THE GRADE OF MODULE A WILL BE BASED ON THE GROUP'S ACTIVE PARTICIPATION IN THE PROJECT WORK, THE INDIVIDUAL PRESENTATION OF THE PROJECT WORK, AND THE WRITTEN TEST EVALUATION. MODULE B ORAL EXAM FOLLOWING A WRITTEN TEST. THE EXAM AIMS AT EVALUATING THE ABILITY TO CORRECTLY APPLY THE TAUGHT METHODS, THE RIGOUR AND CLARITY OF EXPRESSION. THE WRITTEN TEST TAKES AIMS AT ASSESSING THE ABILITY TO APPLY THE ACQUIRED KNOWLEDGE AND THE ANALYTICAL INSTRUMENTS. THE ORAL INTERVIEW IS A DISCUSSION ON THE THEORETICAL AND METHODOLOGICAL TOPICS PRESENTED DURING THE COURSE. EACH PART IS ASSIGNED A MARK AND THE AVERAGE OF THESE MARKS IS CONVERTED INTO THIRTIETHS TO GIVE THE FINAL GRADE.

Verification of learning

MODULE A . DURING THE FINAL EXAM, STUDENTS WILL BE REQUIRED TO DISCUSS THE PROJECT WORK AND TAKE WRITTEN TEST ON TOPICS COVERED IN THE COURSE. THE PROJECT WORK SHOULD BE DONE IN GROUPS OF 1-3 STUDENTS AND SHOULD INVOLVE THE APPLICATION OF THE METHODS AND TECHNIQUES PRESENTED DURING THE COURSE TO REAL DATA USING THE R SOFTWARE. CONTENTS AND METHODS OF CARRYING OUT THE PROJECT WORK MUST BE AGREED UPON WITH THE TEACHER DURING THE COURSE FOLLOWING THE DETAILED GUIDELINES THAT WILL BE PROVIDED AT THE BEGINNING OF THE COURSE AND UPON REQUEST OF THE STUDENTS. THE WRITTEN TEST AIMS AT ASSESSING THE ABILITY TO APPLY THE ACQUIRED KNOWLEDGE AND THE ANALYTICAL INSTRUMENTS. THE GRADE OF MODULE A WILL BE BASED ON THE GROUP'S ACTIVE PARTICIPATION IN THE PROJECT WORK, THE INDIVIDUAL PRESENTATION OF THE PROJECT WORK, AND THE WRITTEN TEST EVALUATION.
MODULE B

ORAL EXAM FOLLOWING A WRITTEN TEST. THE EXAM AIMS AT EVALUATING THE ABILITY TO CORRECTLY APPLY THE TAUGHT METHODS, THE RIGOUR AND CLARITY OF EXPRESSION. THE WRITTEN TEST TAKES AIMS AT ASSESSING THE ABILITY TO APPLY THE ACQUIRED KNOWLEDGE AND THE ANALYTICAL INSTRUMENTS. THE ORAL INTERVIEW IS A DISCUSSION ON THE THEORETICAL AND METHODOLOGICAL TOPICS PRESENTED DURING THE COURSE.

EACH PART IS ASSIGNED A MARK AND THE AVERAGE OF THESE MARKS IS CONVERTED INTO THIRTIETHS TO GIVE THE FINAL GRADE.

	Texts
	FOR MODULES A AND B1 STORTI G., VITALE C. (2011) ANALISI STATISTICA DEI MERCATI MONETARI E FINANZIARI, ESI. TSAY, R. (2005) ANALYSIS OF FINANCIAL TIME SERIES (2ND EDITION), WILEY SERIES IN PROBABILITY AND STATISTICS (CHAPTERS 1-3-5-7-10). FOR MODULE B2 D. G. LUENBERGER – FINANZA E INVESTIMENTI. FONDAMENTI MATEMATICI – ED APOGEO - 2011 CASTELLANI, DE FELICE, MORICONI, MANUALE DI FINANZA – II VOLUME, IL MULINO HULL J., BARONE E., OPZIONI, FUTURES E ALTRI DERIVATI. EDIZ. MYLAB. CON E-BOOK. CON AGGIORNAMENTO ONLINE – 2021

Texts

FOR MODULES A AND B1
STORTI G., VITALE C. (2011) ANALISI STATISTICA DEI MERCATI MONETARI E FINANZIARI, ESI.
TSAY, R. (2005) ANALYSIS OF FINANCIAL TIME SERIES (2ND EDITION), WILEY SERIES IN PROBABILITY AND STATISTICS (CHAPTERS 1-3-5-7-10).
FOR MODULE B2
D. G. LUENBERGER – FINANZA E INVESTIMENTI. FONDAMENTI MATEMATICI – ED APOGEO - 2011
CASTELLANI, DE FELICE, MORICONI, MANUALE DI FINANZA – II VOLUME, IL MULINO
HULL J., BARONE E., OPZIONI, FUTURES E ALTRI DERIVATI. EDIZ. MYLAB. CON E-BOOK. CON AGGIORNAMENTO ONLINE – 2021

	More Information
	FURTHER MATERIAL (DATA, SOFTWARE, LECTURE NOTES) WILL BE PUBLISHED BY THE INSTRUCTOR.

Lessons Timetable

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Massimiliano MENZIETTI | FINANCIAL MARKETS ANALYSIS