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Lionel
- Tarif 371 480 Ar
- Réponse 1h
371 480 Ar/h
Voir les professeurs de statistiques
Ce professeur est malheureusement indisponible
- Statistiques
SPSS Eviews Gretl R Stata for Master Thesis and Assignments for econometrics and statistics
- Statistiques
Lieux du cours
À propos de Lionel
MsC in Engineering with top marks and research assistant of Econometrics for Italian top University.
Business Expert in Risk Management. Academic Research in Quantitative Finance and Algorithmic Trading.
Common discipline covered: Econometrics (with applications in R, Stata, SPSS, Eviews, Gretl), Statistics, Financial Mathematics, Quantitative Support for Master Degree Thesis (from Regressions to all statistical applications), Risk Management, Mathematics, Computer Science
I help with assignments, exams, presentations, advanced research, dissertations, big programming projects and general skill enhancement. Proficient in all major statistical packages: R, SPSS, Stata, Matlab, EViews, Gretl.
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À propos du cours
- Primaire
- Collège
- Seconde
- +2
niveaux :
Primaire
Collège
Seconde
Formation pour adultes
Supérieur
- Français
- Anglais
- Italien
Toutes les langues parlées pour le cours :
Français
Anglais
Italien
Technical Skills (application and often implementation from scratch):
1) Econometrics: Multivariate Regression, Discrete variable models (i.e. Logit), Time series models (i.e. AR/MA, ARCH/GARCH), Vector AutoRegressive model (VAR), Cointegration (Engle-Granger, VECM), Long-memory process (Fractional Integration), Regime switching models (Hamilton Filter), Kalman Filter, Unobserved Components ARIMA model, Beveridge-Nelson decomposition (Hansen's approach), Copula methods, Metropolis-Hastings algorithm, Black-Litterman model (Meucci's approach), Hierarchical Risk Parity
2) Quantitative Trading (Mid-High Frequency Trading): Stat Arb & Pairs Trading models, Order Imbalance & Order Replenishment effects on intraday returns, Optimal Setup of Entry-Exit Trading Triggers for Quant Trading Strategies, Stat Arb Bertram Model, Data sampling rules for non equally-spaced data (time vs. volume clock for high freq data), Bid-Ask Bounce Bias & Sahalia Method for Microstructure Noise Estimation & Test, Hayashi-Yoshida Lead-Lag Index, D'Aspremont Method for Mean Rev Portfolios, Market Fragmentation in Financial Markets, High-Low prices & Pivot Points trading rule, Trend Following Strategy, Avellaneda-Stoikov Model for Optimal Trading Execution
3) Risk Management: P&L production & analysis for energy trading, VaR & Profit at Risk for energy trading, Merton approach for Credit VaR with/without credit rating migrations, EVT & Copula-based VaR, Stress Test models, Structured Credit Models for Regulatory Risk-Transfer, Additional Value Adjustments for Balance Sheet, Risk Aggregation, Model Risk, Interpolation Methods for multi-year PD Term Structure, Methods for Semidefinite-Positive Corr Matrix Adjustment
4) Financial Mathematics: Longstaff-Schwartz, HJM model (Glasserman's scheme), Greeks with Finite Difference Method, CPPI Products & Cushion Multiplier Setup
5) Machine Learning: Support Vector Machine, Decision Tree, Principal Component Analysis & Regression, XGBoost, Random Forest
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Tarifs
Tarif
- 371 480 Ar
Tarifs packs
- 5h : 1855 Ar
- 10h : 3710 Ar
webcam
- 371 480Ar/h
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