1^er cours offert

Mattia

Tarif 426MAD
Réponse 10h
Élèves
Nombre d'élèves que Mattia a accompagné depuis son arrivée sur Superprof
23
Nombre d'élèves que Mattia a accompagné depuis son arrivée sur Superprof

426MAD/h

1^er cours offert

Économie
Stratégie d'entreprise
Gestion des risques
Économétrie
Trading

R SPSS Eviews Gretl Stata Econometrics Support for Master Thesis (online via Skype)

Name: Mattia
Address: Paris 8e, MA
Telephone: undefined
Price range: 426MAD

Économie
Stratégie d'entreprise
Gestion des risques
Économétrie
Trading

Lieux du cours

- webcam

À propos de Mattia

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

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

426MAD

Tarifs packs

5h : 2130MAD
10h : 4260MAD

webcam

426MAD/h

cours offert

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

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d'économie

R SPSS Eviews Gretl Stata Econometrics Support for Master Thesis (online via Skype)

Lieux du cours

À propos de Mattia

À propos du cours

Tarifs

Tarif

Tarifs packs

webcam

cours offert

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