1^er cours offert

Pierre

Tarif 429MAD
Réponse 8h
Élèves
Nombre d'élèves que Pierre a accompagné depuis son arrivée sur Superprof
10
Nombre d'élèves que Pierre a accompagné depuis son arrivée sur Superprof

429MAD/h

1^er cours offert

Macroéconomie
Microéconomie
Économétrie

Econometrics & Statistics for MsC (help in quantitative analyses & lessons & technical comments)

Name: Pierre
Address: Brugge, MA
Telephone: undefined
Price range: 429MAD

Macroéconomie
Microéconomie
Économétrie

Lieux du cours

- webcam

À propos de Pierre

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.

Average cost is 30 GBP/hour, even if the hourly cost can vary according to topic and project complexity

Covering university courses all around Europe: Italy, United Kingdom, France, Germany, Spain, Portugal,...

Average hourly cost can change according to project complexity

À propos du cours

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

Tarifs

Tarif

429MAD

Tarifs packs

5h : 2145MAD
10h : 4290MAD

webcam

429MAD/h

cours offert

Ce premier cours offert avec Pierre vous permettra de faire connaissance et de bien lui préciser vos besoins pour vos prochaines leçons.

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Voir les professeurs
de macroéconomie

Econometrics & Statistics for MsC (help in quantitative analyses & lessons & technical comments)

Lieux du cours

À propos de Pierre

À propos du cours

Tarifs

Tarif

Tarifs packs

webcam

cours offert

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