1st lesson free
The profile of Fabrice and their contact details have been verified by our experts
Fabrice
- Rate 260AED
- Response 1h
-
Students12
Number of students accompanied by Fabrice since their arrival at Superprof
Number of students accompanied by Fabrice since their arrival at Superprof
260AED/hr
Contact
1st lesson free
- Econometrics
Master thesis and assignments support in statistics, econometrics, risk management, data analysis
- Econometrics
Lesson location
About Fabrice
Technical Skills (application and often implementation from scratch): 1) Econometrics: Multivariate Regression, Discrete variable models (ie Logit), Time series models (AR / MA, ARCH / GARCH), Vector AutoRegressive Model (VAR), Cointegration -Granger, VECM), Long-Memory Process (Fractional Integration), Hamilton Filter, Kalman Filter, Unobserved Components ARIMA model, Beveridge-Nelson decomposition (Hansen's approach), Copula methods, Metropolis-Hastings algorithm, Litterman model (Meucci's approach), Hierarchical Risk Parity 2) Mid-High Frequency Trading: Stat Arb & Pairs Trading Models, Order Imbalance & Order Replenishment Effects on Intraday Returns, Optimal Setup of Exit Trading Triggers for Quant Trading Strategies, Stat Arb Bertram Model, Data sampling rules for non-equally spaced data, Bid-Ask Bounce Bias & Sahalia Method for Microstructure Noise Estimation & Test, Haya 3) Risk Management: The Future of the Future, and the Future of the Future, P & L production and 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 Financial Mathematics: Longstaff-Schwartz, HMS 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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About the lesson
- Primary
- Secondary
- Preparatory
- +4
levels :
Primary
Secondary
Preparatory
Technical Secondary School
Adult Education
Masters
Kindergarten
- English
- Italian
All languages in which the lesson is available :
English
Italian
MsC in Engineering with top marks and research assistant of Econometrics for the Italian top University. Business Expert in Risk Management. Academic Research in Quantitative Finance and Algorithmic Trading. Common discipline covered: Econometrics (with applications in R, Static, SPSS, Eviews, Gretl), Statistics, Financial Mathematics, Quantitative Support for Master Degree Thesis (from Regression to All Statistical Applications), Risk Management, Mathematics, Computer Science assignments, exams, presentations, advanced research, dissertations, major programming projects and general skill enhancement. Proficient in all major statistical packages: R, SPSS, Stata, Matlab, EViews, Gretl
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Rates
Rate
- 260AED
Pack prices
- 5h: 1,302AED
- 10h: 2,603AED
free lessons
The first free lesson with Fabrice will allow you to get to know each other and clearly specify your needs for your next lessons.
- 1hr
online
- 260AED/h
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