1. undervisning gratis
Jan profilen og dens kontaktoplysninger er blevet bekræftet af vores eksperter
Jan
- Pris 500 kr.
- Svartid 1h
-
Elever15
Antal elever ledsaget af Jan siden deres ankomst til Superprof
Antal elever ledsaget af Jan siden deres ankomst til Superprof
500 kr./t.
Kontakt underviseren
1. undervisning gratis
- Matematik
Econometrics and Statistics ARMA GARCH Regressions Logistic Regression XGBOOST Machine Learning Support for Thesis
- Matematik
Undervisningens placering
-
hos dig eller ved et offentligt sted : kan rejse op til 20 km fra Aarhus
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Om Jan
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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Om undervisningen
- Alle niveauer
- Dansk
Alle sprog, der kan tales under lektionen :
Dansk
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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Anbefalinger
Anbefalingerne kommer fra venner og bekendte af denne professor Matematik.
1
Great professor, massive experience in econometrics!
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Priser
Pris
- 500 kr.
Pakkeløsninger
- 5 lektioner: 2500 kr.
- 10 lektioner: 5000 kr.
gratis undervisning
Den første lektion med Jan giver jer mulighed for at lære hinanden at kende og for at specificere jeres behov for jeres næste lektioner.
- 1t.
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