**Stefano Marmi: Teaching**

Slides of the first lecture (Introduction to dynamical systems and to time series. 1713KB) Slides of the second lecture (Ergodic theory 567KB) Slides of the third lecture (Estimartion methods for time series models 283KB) by Fulvio CorsiSlides of the fourth lecture (Maximum Likelihood 231KB) by Fulvio CorsiSlides of the fifth lecture (ARMA 235KB) Slides of the sixth lecture (Ergodic theory and entropy 1104KB) Slides of the seventh lecture (Lyapunov exponents, CLT and fractals. 2119KB) Slides of the eigth lecture (Fractals and multifractals. Stylized facts on financial time series. 2798KB) Slides of the nineth lecture (ARCH and GARCH models. 275KB) by Fulvio Corsi Slides of the tenth lecture (High frequency financial time series and realized volatility models. 646KB) by Fulvio CorsiSlides of the eleventh lecture (Takens theorem and embedology. 557KB)
Slides of the first lecture (An
introduction to dynamical systems and to time series. 1438KB)
Slides of the second lecture
(Probability vs. statistics, ergodicity. Return times. Mixing 1072KB)
Dynamics and time series:
a very brief introduction to ergodic theory
Slides of the third lecture
(Mixing, recurrence times, entropy 1235KB)
Slides of the fourth lecture
(Introduction to financial markets and to financial time series 722KB)
Slides of the fifth lecture
(Entropy of Markov chains, coding and data compression, central limit
theorems 740KB)
Slides of the sixth lecture
(Financial time series: stylized facts and models 1736KB)
Slides of the seventh lecture
(The efficient markets hypothesis 2081KB)
Slides of the seminar by
Fabrizio Lillo (An introduction to high frequency finance and market
microstructure 4008KB)
Very sketchy and short handwritten
notes introducing some market models and mean-variance optimization
(version 1, in Italian, 2512KB)
Slides of the seminar by
Angelo Carollo (On equity trading strategies 3101KB)
Slides of the seminar by Roberto
Renò (Volatility 1819KB)
An introduction to ARMA
and GARCH processes 402KB (by Fulvio Corsi)
Slides of the 15th lecture
(Takens embedding theorem, fractals and multifractals 3518KB)
proposte di temi di esame
Slides of the seminar by Fulvio
Corsi (Har model for realized volatility: extensions and applications
& Modeling tick-by-tick realized correlations 694KB)
Slides of the seminar by
Massimiliano Marcellino (Advances in Factor Modelling & Classical
time-varying FAVAR models Estimation, forecasting and structural
analysis 1314KB)
Password protected zip file
with the slides of the five lectures (1. Data production, data mining
and data modeling in finance. A brief overview on stylized facts. 2.
Agent based models: formulation, description and numerical
simulations. 3. Microstructure of a double auction market. 4.
Investment profiles of classes of investors: empirical evidence. 5.
Correlation and hierarchies in financial markets. 55MB) Please contact
me by email if you want to receive the password.
Slides of the first lecture (1384KB)
Slides of the second lecture (1541KB)
Slides of the third lecture (1601KB)
Slides of the fourth lecture (1865KB)
Slides of the fifth lecture (2533KB)
Homework
Outline and calendar of the
lectures
Slides of the first lecture (An
introduction to dynamical systems and to time series. 7690KB)
Slides of the second lecture
(Probability vs. statistics, ergodicity. Return times. Mixing 7690KB)
Links with quotes used in the second
lecture (T. Tao, B. Russell, N. Taleb and the paper of D. Leinweber on
data mining)
Preliminary version of some
lecture notes on dynamics and ergodic theory (for more mathematically
inclined students)
Seminar I: Waiting times, recurrence times,
ergodicity and quasiperiodic dynamics. Dong Han KIM, Suwon University,
Korea (564KB)
Slides of the third lecture (Entropy,
randomness and deterministic chaos. 3514KB)
Very preliminary version of some
lecture notes on entropy (for more mathematically inclined students)
(170kB)
Slides of the fourth lecture (Time
series analysis and embedology, 3517KB)
Seminar II: Computing
entropy of symbolic sequences: Nonsequential substitutions and other
methods. Stefano Galatolo, Università di Pisa (4465KB)
Slides of the fifth lecture (Fractals
and multifractals, 4739KB)
Slides of the sixth lecture (Rhythms
of life, 4772KB)
Links to papers quoted in the sixth
lecture (Goldberger and coworkers on fractal dynamics in physiology
and cardiology, Korn and Faure review on chaotic dynamics and
neurology)
Slides of the seventh lecture
(Financial time series, 5751KB)
Seminar III. Heart Rate
Variability: a statistical physics point of view. Angelo Facchini,
Università di Siena (2451KB)
Seminar IV. Study of a populationmodel: the Yoccoz-Birkeland model. Duccio Papini, Università di Siena (780KB).__ This talk is based on the work of Sylvain Arlot, Étude dâ€™unmodèle de dynamique des populations, available at the Arlot's webpage__
The webpage of Sylvain
Arlot
Slides of the eighth lecture (The
efficient markets hypothesis, 6050KB)
Links to some of the papers quoted
and/or used in lectures 8 and 9 (Samuelson, Mandelbrot, Dimson and
Mussavian, Lo)
Seminar V. Scaling Laws in
Economics: The Growth of Firms. Giulio Bottazzi, Scuola Superiore
Sant'Anna (1139KB)
Slides of the ninth lecture (A random
walk down Wall Street, 4996KB)
Correlations, hierarchies and
networks in financial markets, Rosario Mantegna, Università di Palermo
(9906KB)
Measuring the informational
efficiency in the stock market, Adrian Risso, Università di Siena
(4856KB)
Complexity, sequence distance
and heart rate variability, Mirko Degli Esposti, Università di Bologna
(2068KB)
Forecasting macroeconomic time
series: ARMA models and large-dimensional dynamic factor models, Marco
Lippi, Università di Roma (133KB)
RELAZIONI DEGLI STUDENTI

Rilevanza di size e B/M nei rendimenti del mercato, Claudio Tamburrino, ScuolaNormale Superiore (99KB)