Syllabus: Modelling and Data Analysis I
J.A. Matos, P.B. Vasconcelos
Modelling and Data Analysis I
Master in Finance (FEP)
Contents
1 Goals and learning outputs 2
1.1 Motivation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
1.2 Learning outcomes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
1.3 Team . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
2 Program 3
2.1 Modules . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
2.2 Support material . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
2.3 Bibliography . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
3 Grading 5
3.1 Evaluation Type . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
3.2 Assessments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
1 Goals and learning outputs 2
1 Goals and learning outputs
1.1 Motivation
Course goals
The main goals are to:
• Develop the skills to use and program in some of the most important software for modeling
and data analysis.
• Solve economic and financial problems on the computer through the use of models and
data analysis.
• Implement programs for the analysis, characterization and comparison of economic and
financial data.
• Develop critical thinking about data analysis.
• Adapt existing computer codes to solve new problems.
We will address how to:
• Use computational tools to implement these techniques in Modelling and Data Analysis:
– Jupyter notebooks;
– Python language;
• Implement and explore both theoretical and empirical models.
1.2 Learning outcomes
Learning outcomes
1. Create, modify and run Jupyter notebooks that include code and documentation;
2. Write basic Python programs to study Economics and Finance models;
3. Understand what are models and how to use them;
4. Write Python programs to simulate Economics and Finance models;
5. Apply critical thinking in data analysis and simulation;
6. Create, and use and computer programs for data analysis in Economics and Finance;
7. Understand the advantages and limitations of finite precision (floating point) arithmetic.
1.3 Team
Authors
• José Matos;
• Paulo B. Vasconcelos.
Modelling and Data Analysis I Master in Finance
2 Program 3
2 Program
2.1 Modules
Modules
The course is divided in modules:
1. Tools;
2. Models;
3. Data analysis;
4. Numerical errors.
1. Tools what
1. Installation;
2. Programming languages;
3. Jupyter (working environment);
4. Python;
5. Simple economic examples.
2. Models how
1. What it is modelling;
2. What types of models there are;
3. Simulation;
4. Programming;
5. Application examples.
3. Data Analysis how
1. Data;
2. Programming;
a) Python (main focus of the course);
b) reference others (like R and Julia).
3. Applications/examples.
4. Numerical errors why
1. Real life costly examples;
2. Numerical errors;
3. Floating point arithmetic;
4. Numerical approximation errors.
Modelling and Data Analysis I Master in Finance
2 Program 4
2.2 Support material
Moodle
For each modules there will be available, at the U.Porto Moodle instance:
Support material
• Lecture notes;
• Examples and exercises in Jupyter notebooks;
• other documents.
Activities
• surveys;
• questions/quizzes;
• video presentations;
• code exercises.
External resources
• like external links and files related to the module’s topic.
These documents will be available in the week previous to the class to allow students to get a
better grasp of the new subjects and to promote the blended nature of the course. Students are
encouraged to consult that material before the class to ease the learning path/process.
2.3 Bibliography
Recommended references
• Quantitative Economics: https://quantecon.org/lectures/
• https://en.wikibooks.org/wiki/Python_Programming
• https://en.wikibooks.org/wiki/R_Programming
• https://jupyter-notebook-beginner-guide.readthedocs.io/
Modelling and Data Analysis I Master in Finance
3 Grading 5
3 Grading
3.1 Evaluation Type
Distributed assessment without final exam
• There is no final exam and thus no second epoch for evaluation.
• The evaluation process will occur through the semester.
The assessment is done through an individual assessment and a group project.
3.2 Assessments
Type
Individual assessment
30% (Moodle in the class)
Group project
20% presentation (10 min. video presentation)
50% report
Modelling and Data Analysis I Master in Finance
