Introduction to Python For Finance

In this course, we will introduce basic python concepts and explore their usage in financial econometrics. Statistical modelling of any kind always requires data. Thus, being able to handle raw data sets, i.e. data cleaning, data structuring, etc., is an essential task which has to be done at the beginning of every project. The first part of the course will focus on the most popular tools that python offers (pandas, numpy, matplotlib, datetime, etc.) in order to tackle the aforementioned tasks .

The second part of the course introduces financial time series. Here, we will discuss their unique characteristics also known as "stylized facts" and different approaches on how to model them, in particular ARMA and GARCH processes will be of interest. If time permits, we will also peek into quantitative risk management and portfolio optimization.

The course is taught using moodle.

Date: 26.03.2021 - 01.04.2021

Time: 10:00-16:00 CEST

Language: English

Prerequisites :
No python knowledge is required although a basic understanding of coding principles is helpful. A basic understanding of univariate time series is helpful but not required. Sound knowledge of probability theory and some linear algebra. Knowledge of financial concepts is beneficial but not required.