COMPG001 - Financial Data and Statistics

Note: Whilst every effort is made to keep the syllabus and assessment records correct, the precise details must be checked with the lecturer(s).

PrerequisitesStudents must be familiar with basic probability and statistics concepts. They must also have some familiarity with mathematical analysis.
Taught ByTomaso Aste (100%)
AimsThe course is aimed at introducing to financial data analytics. The course is primarily focused on the observation of financial market dynamics of both individual assets and collective group of assets and the individuation of regularities, patterns and laws from a statistical perspective. Instruments to analyse, characterize, validate, parameterize and model complex financial datasets will be introduced. Practical issues on data analysis and statistics of high frequency and low frequency financial data will be covered.
Learning Outcomes

Students will become able to analyse main statistical features of complex financial datasets. On successful completion of the course, a student should have a good understanding on: 1) the empirical probability distributions of financial returns; 2) how to characterize, parameterize and validate these distributions; 3) the quantification inter-dependency/causality structure between financial assets; 4) how to use the outcome of data-analytics to develop better tools for forecasting, valuation and risk management.