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Data Analytics for Finance II

Description

Prerequisites
Programming in Finance and Economics I, Statistics at master level
The R programming language will be used for most part of this course. Students are free to use other languages for the assignments.

Objectives
Tukey (1962) defines Data Analysis to be “Procedures for analyzing data, techniques for interpreting the results of such procedures, ways of planning the gathering of data to make its analysis easier, more precise or more accurate, and all the machinery and results of (mathematical) statistics which apply to analyzing data.”
The goal of this course is to provide the students with the tools and thinking framework to accomplish these tasks.

Description / Program
The second part of the course Financial Data Analysis is available as elective course to all students in the master of Finance. This half-course takes place in the second half of the semester and focuses entirely on the Data Visualization (not only) for financial Data.

  1. Visualization theory
    Perception and aesthetics, color, the grammar of graphics
  2. Static visualizations
    Bar charts, scatter plots, pie charts, line carts, Sankey diagrams, Parallel coordinate plots,
  3. Statistical visualizations
    Box and violin plots, qq-plot, histograms, tree maps, forest plot, autocorellograms, Lorenz curves, Venn diagrams,
  4. Data maps
    Dot distribution maps, heat maps, choropleths and alternative maps: cartograms, grid and hexagon maps, statebins
  5. Interactive visualizations
     Basic web technology, user interaction, R shiny
  6. Visualizations in R
    ggPlot and shiny

Additional topics (time permitting)

  • Storytelling with data
  • Alternative plots: Cernov faces, trees and dendograms,
  • Copyright, GDPR (privacy)

Learning Method / Style of Lessons
This course will take students from theory to practice in three steps. New topics are introduced in short lectures, which are followed by learning-by-doing in PC labs. Students finally apply their new knowledge in individual work, which is collected and presented in a student portfolio.
Compliant with COVID-19 guidelines

Exam Style
100% – Portfolio
Students create portfolios of ca. 20 pages from their individual work throughout the semester, including

  • Discussions of data sets and/or methods
  • Discussions of a paper from the literature
  • Data visualizations

Requested Material
Students are required to bring a laptop with R and R Studio installed to every class.

Readings/Textbooks
Tukey, J.W. (1962): The future of Data Analysis, The Annals of mathematics and statistics, p. 1-67
Tukey, J.W. (1977): Exploratory data analysis
Additional resources will be given in the first class

People

 

Gruber P.

Course director

Additional information

Semester
Fall
Academic year
2020-2021
ECTS
3
Language
English
Education
Master of Science in Economics in Finance, Elective course, Minor in Quantitative Finance, 2nd year