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Body of Knowledge
Data Science for Finance

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Data Science for Finance

Main definitions
Relationships among processes
Covariance stationary processes
Order-one autoregression
VARMA processes
Linear state space models
Quest for invariance
Simple tests
Efficiency: random walk
Mean-reversion (discrete state)
Long memory: fractional integration
Volatility clustering
Multivariate quest
Cointegration
Estimation
Setting the flexible probabilities
Historical
Maximum likelihood principle
Maximum likelihood
Missing data
Robustness
(Dynamic) copula-marginal
Bayesian statistics
Step 3. Estimation - Historical
Bayesian estimation
Step 3. Estimation - Monte Carlo
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