Advanced Statistics for Finance

Academic Year 2024 - 2025

Timetable:

TBA

Office Hours: Wednesday 9.30-12

Instructor 

Brunero Liseo brunero.liseo@uniroma1.it

Syllabus 

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