Data Analytics for Finance II

Prerequisites

Programming in Finance and Economics I, Statistics at master level.

The R programming language (together with a bit of SQL and Linux) 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 one of these tasks: data visualization.

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)

• The data economy: data as raw material and product, business models, licensing, open data
• Data in research: sharing and publishing data sets, case studies in the value of (new) datasets
• Managing a data science project
• 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.

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. Students will additionally profit from continuing to use the Linux data server, which they have set up in Programming in Finance and Economics II.

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