Stefano Marmi: Teaching

Dynamics and time series: theory and applications to financial time series (A.A. 2011/2012)

  • 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 Corsi
  • Slides of the fourth lecture (Maximum Likelihood 231KB) by Fulvio Corsi
  • Slides 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 Corsi
  • Slides of the eleventh lecture (Takens theorem and embedology. 557KB)

    Dynamics and time series: theory and applications to financial time series (A.A. 2009/2010)

  • 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)

    Empirical Analysis and Modeling of financial complex systems (Ph.D. course of the Perfezionamento in Matematica Finanziaria, Scuola Normale Superiore, A.A. 2009/2010) by Rosario Nunzio Mantegna, University of Palermo

  • 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.

    Dynamical systems, information and time series (Department of Economics, European University Institute, Firenze, 2009)

  • 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

    Dynamics and time series: theory and applications (A.A. 2008/2009)

  • 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 d’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)