Data Analysis in Finance

(First Semester 2016)

Lecturers
Joo Nicolau (coordinator)
Alexandra Moura

Course Description
The course is intended to prepare students for empirical research in Finance.
This is a course in statistical and econometric methods which adopts the approach of the CFA (Chartered Financial Analyst) program.

Textbook
DeFusco, R. A., McLeavey, D. W., Pinto, J. E., Anson, M. J., & Runkle, D.
E. (2015). Quantitative investment analysis. 3rd Edition. John Wiley & Sons.

Programme
1 The Time Value of Money
1.1 The Future Value of a Single Cash Flow
1.2 Solving for Rates and Number of Periods
2 Statistical Concepts and Market Returns 21
2.1 Some Fundamental Concepts
2.2 Summarizing Data Using Frequency Distributions
2.3 Measures of Central Tendency
2.4 Measures of Dispersion of Location
2.5 Measures of Dispersion
2.6 Symmetry and Skewness in Return Distribution
2.7 Kurtosis in Return Distribution
3 Probability Concepts
3.1 Probability, Expected Value and Variance
3.2 Portfolio Expected Return and Variance of Return
3.3 Bayess Formula
4 Common Probability Distributions
4.1 Discrete Random Variables
4.2 Continuous Random Variables
4.3 Value at Risk
4.4 Monte Carlo Simulation
5 Sampling and Estimation
5.1 Introduction

5.2 Sampling
5.3 Distribution of the Sample Mean
5.4 Point and Interval Estimates of the Population Mean
5.5 More on Sampling
6 Hypothesis Testing
6.1 Introduction
6.2 Testing the Mean of a Population
6.3 Testing the dierence between two Means (Independent Samples)
6.4 Testing the dierence between two Means (Paired Observations)
6.5 Testing a Single Variance
6.6 Testing the dierence between two Variance
7 Multiple Regression
7.1 Introduction (Revision)
7.2 Using Dummy Variables in Regression
7.3 Violations of the Regression Assumptions
8 Technical Analysis
8.1 Denition and Scope
8.2 The E cient Market Hypothesis and the Technical Analysis
8.3 Trading Rules
Grading
Assessment is based on the nal exam. In the exam you are only allowed to
take the test sheets and a pen (no mobile phones, calculators, etc.).