Data Analysis for Financial Markets
1
2024-2025
02049720
Optional
Portuguese
English
Face-to-face
SEMESTRIAL
6.0
Elective
2nd Cycle Studies - Mestrado
Recommended Prerequisites
This course makes use of previous skills on programming in Python and data analysis algorithms. It makes transversal use of the knowledge acquired along the first cycle of a higher education course in the area of computer engineering, computer sciences and/or data analysis.
Teaching Methods
The learning process takes place in theoretical classes, practical classes and work developed autonomously outside the classroom space.
Classroom materials include:
- PPT presentations
- demo videos
- actual datasets
- access to a broker in simulation mode
- Python libraries for data analysis.
Learning Outcomes
This course addresses the topic of data analysis and approaches and solutions for financial markets. Theoretical classes provide the concepts and computing techniques necessary for the course, namely, an introduction to financial market instruments, preparation and exploratory visualization of financial data, strategies for trading, models for financial time-series, co-integration and arbitrage using co-integration. The practical classes are structured around the Data Lab. The Data Lab provides several financial datasets, and access to a brokerage simulator. The course's project develops along the semester and is presented at the course final workshop with participations from financial institutions. This project aims to develop students' skills on visualization and analysis of financial data for investment and trading operations. It is expected that added skills on data analysis will also be useful for any other area that makes extensive use of data for decision making.
Work Placement(s)
NoSyllabus
Financial Markets
Exploratory Data Analysis for Financial Markets
Algorithmic Trading Strategies
Models Based on Time Series Analysis
Neural Networks for Trading.
Head Lecturer(s)
Carlos Manuel Robalo Lisboa Bento
Assessment Methods
Assessment
Exam: 40.0%
Project: 60.0%
Bibliography
Python for Finance, 2020
Eryk Lewinson
Packt Publishing
Hands-On Financial Trading with Python, 2021
Jiri Pik and Sourav Ghosh
Packt Publishing
Introduction to Time Series and Forecasting, 2nd Edition
Petter J Brockwell and Richard Davis
Springer
Machine Learning for Algorithmic Trading, 2020
Stefan Jansen
Packt Publishing.