1^st lesson free

Paul

5 (1 review)

Rate ₱3,606
Response 1h
Students
Number of students Paul has taught since their arrival at Superprof
18
Number of students Paul has taught since their arrival at Superprof

5 (1 review)

₱3,606/h

1^st lesson free

Maths

ARMA GARCH Regression Logistic Regression Machine Learning Artificial Intelligence with R and other softwares

Maths

Lesson location

- online

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.

About the lesson

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

Recommendations

Recommendations come from relatives, friends and acquaintances of the teacher

Mattia

Great professor, massive experience in econometrics
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M
Mattia
Great professor, massive experience in econometrics
View more recommendations

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5h: ₱15
10h: ₱30

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This first lesson offered with Paul will allow you to get to know each other and clearly specify your needs for your next lessons.

online

₱3,606/h

ARMA GARCH Regression Logistic Regression Machine Learning Artificial Intelligence with R and other softwares

Lesson location

About Paul

About the lesson

Recommendations

Rates

Rate

Pack rates

free lessons

online

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ARMA GARCH Regression Logistic Regression Machine Learning Artificial Intelligence with R and other softwares

Lesson location

About Paul

About the lesson

Recommendations

Rates

Rate

Pack rates

free lessons

online

Other tutors in Maths

Lenard

Sophia

Earl Jhon

John Paul

Kacey(Kia)

Edward

Princess Karen

Mary Jane

Christian Mhel

Whey

Ellie

Kenny Jay

MARVIN SAGRADO

CHRISTOPHER M

Miraflor

Tristan

Danniel Raphael

Mary Cris

Lyka

Rocky

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