1^st lesson free

Mattia

Rate R1186
Response 1h
Students
Number of students Mattia has accompanied since joining Superprof
5
Number of students Mattia has accompanied since joining Superprof

R1186/h

1^st lesson free

Economics
Macroeconomics
Financial management
Econometrics
Business Analysis
Risk management

R SPSS Eviews Stata Gretl Econometrics Private Lessons for Master Thesis (via Skype)

Economics
Macroeconomics
Financial management
Econometrics
Business Analysis
Risk management

Lesson location

- online

About 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,...

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

Rates

Rate

R1186

Package rates

5h: R5930
10h: R11860

free lesson

The free first lesson with Mattia allows you to get to know the tutor and discuss your needs and expectations.

online

R1186/h

R SPSS Eviews Stata Gretl Econometrics Private Lessons for Master Thesis (via Skype)

Lesson location

About Mattia

About the lesson

Rates

Rate

Package rates

free lesson

online

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R SPSS Eviews Stata Gretl Econometrics Private Lessons for Master Thesis (via Skype)

Lesson location

About Mattia

About the lesson

Rates

Rate

Package rates

free lesson

online

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Bcom scm & economics graduate as well as pgce. teaches with intent to provide clarity on subject topics.

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