Advanced Statistics for Finance
Academic Year 2024 - 2025
Timetable:
TBA
Office Hours: Wednesday 9.30-12
Instructor
Brunero Liseo brunero.liseo@uniroma1.it
Textbook:
Slides and notes available from the instructor
James, G., Witten, D., Hastie, T. and Tibshirani, R. (2021) An Introduction to Statistical Learning with R (2nd edition) available at https://www.statlearning.com/
Warning: Colours in the figures are important! Then, print a color copy of the book or read it on a tablet!
There is a companion R package available at
https://cran.r-project.org/web/packages/ISLR/index.html
Other suggested readings
Azzalini, A. and Scarpa, B. (2012) Data analysis and data mining, Oxford University Press
Detailed Program:
Basic notions of Statistical Inference
Overview of Statistical Learning
Linear regression
Classification (Logistic Regression, KNN, Discriminant Analysis)
Linear model selection and regularization (Variable selection methods, Lasso, Ridge, Partial LS)
Moving beyond linearity (Splines)
Tree-based methods
Scheduled dates of exam
13 September 2024
22 October 2024 (restricted)
14 January 2025