1st lesson free
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Paul
- Rate 781 BWP
- Response 1h
-
Students18
Number of students Paul has accompanied since arriving at Superprof
Number of students Paul has accompanied since arriving at Superprof
781 BWP/hr
Contact
1st lesson free
- Maths
ARMA GARCH Regression Logistic Regression Machine Learning Artificial Intelligence with R and other softwares
- Maths
Lesson location
About Paul
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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About the lesson
- Primary
- Junior Secondary
- Secondary School
- +19
levels :
Primary
Junior Secondary
Secondary School
Première
Standard 7
Diploma
Adult Training
Bachelor's Degree
Master's Degree
Diplomgrad
Doctorate
Other
ACCA
ICAEW
CIPFA
AIA
CIMA
GDL
Bar Professional Training Course
Qualified Lawyer Transfer Scheme
MBA
JAMB
- English
- Italian
All languages in which the lesson is available :
English
Italian
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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Recommendations
Recommendations come from relatives, friends and acquaintances of the teacher
1
Great professor, massive experience in econometrics
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Rates
Rate
- 781 BWP
Pack prices
- 5h: 3905 BWP
- 10h: 7810 BWP
free lessons
The first free lesson with Paul will allow you to get to know each other and clearly specify your needs for your next lessons.
- 1hr
online
- 781 BWP/h
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