".$Title.""; } if ($Head) { echo $Head; } ?>

Università degli Studi di Pavia - Department of Economics and Management

Home

HomeNews › 2018 SIDE Summer School of Econometrics

2018 SIDE Summer School of Econometrics

Published in: Announcements

 2018 SIDE Summer School of Econometrics to be held at the Bank of Italy SADIBA Center in Perugia. SIDE is the acronym for the Italian Econometric Association. This year the Summer School will deal with some aspects related to Big data and finance and with financial econometrics.

The topic of the first week will be " Text Analysis and Sentiment Analysis (TASA) with Applications to Finance " by Prof. Wolfgang Härdle (U. of Berlin) and Prof. Cathy Yi-Hsuan Chen (U. of Berlin) from July 16th to July 20th. See a short description below and the attached syllabus.

Description of the 1st week course: Since information mostly exists in language data, the TASA course presents tools and concepts for text data with a strong focus on modeling the econometric effects of language or more specific sentiment. It presents the decision analytics in a way that is understandable for non-mathematicians and practitioners who are confronted with day to day number crunching statistical textual analysis. This course details the development of textual analysis and sentiment projection, and compare the pros and cons of them. The TASA course endows the practitioner with ready to use practical tools for these purposes and applications. All practical examples may be recalculated and modified: software and Quantlets are in www.quantlet.de.

Data are everywhere and the ubiquitous availability of huge amounts of data makes it necessary to develop smart data analytics. Out of the plethora of tools that are available for many scientific disciplines this course offers for the common data analyst an easy access to all levels of analysis without deep computer programming knowledge. Python is becoming the lingua franca, and can be easily applied for the analysis involved textual data. TASA provides a wide variety of exercises, with Python or R step-by-step demonstrations for web-scraping, Natural Language Processing combined with statistical learning methods.

The topic of the second week will be “Recent Developments in Financial Econometrics” by Prof. Andrew Patton (Duke U.) and Prof. Kevin Sheppard (U. of Oxford) from July 23rd to July 27th. See a short description below and the attached syllabus.

Description of the 2nd week course: The financial crisis of 2008 and the aftershocks during the first half of this decade demonstrated how rapidly financial risks can shift. Modern risk management requires new tools to better capture these changes. This course covers the modern tools of volatility measurement and modeling. One of the major changes in volatility modeling has been to make use of tick data – trade-by-trade prices or quotes – to measure volatility, covariance, correlation, and beta. These improved measures have produced substantial gains in the modeling and forecasting of financial risks. This course provides a detailed look at these measures and places them in context with more traditional models which make use of daily data. After setting the stage in the univariate or bivariate measurement of volatility, the course will also extend these methods to large portfolios of assets. The course will provide opportunities to be hands-on with high-frequency data and models.

The deadline for applications is May 31st.

More details at http://www.side-iea.it/events/summer-schools/text-analysis-and-sentiment-analysis-applications-finance and http://www.side-iea.it/events/summer-schools/recent-developments-financial-econometrics.

Credits: apnetwork.it