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Introduction

The “Checklist”

Equities

Currencies

Fixed-income

Derivatives

Credit

High frequency

Strategies

Efficiency: random walk

Mean-reversion (continuous state): ARMA

Mean-reversion (discrete state): Markov chains

Long memory: fractional integration

Volatility clustering

Multivariate quest

Cointegration

Setting the flexible probabilities

Historical

Maximum likelihood

Bayesian

Shrinkage

Generalized method of moments

Robustness

Missing data

(Dynamic) copula-marginal

Estimation assessment

Points of interest, pitfalls, practical tips

Analytical

Historical

Application: multivariate Markov chains

Points of interest, pitfalls, practical tips

Exact repricing

Carry

Taylor approximations

Static market/credit risk

Stress-testing

Enterprise risk management

7 . Ex-ante evaluation

Quantile (value at risk)

Application: hedging

Minimum-torsion bets attribution of variance

Simplistic portfolio construction

Advanced portfolio construction

Expected utility maximization

Option based portfolio insurance

Rolling horizon heuristics

Signal induced strategy

Market impact modeling

Factor models and learning

Regression LFM’s

Principal component LFM’s

Cross-sectional LFM’s

Performance of regression versus principal component

Systematic-idiosyncratic LFM’s

Key concepts for machine learning

Supervised learning: regression

Supervised learning: classification

Feature engineering

Ensemble learning

Dynamic principal component

Linear state space models

Hidden Markov models

Finite set of times to maturity

Maximum likelihood

Bayesian

Regularization

k-means clustering

Valuation

Capital asset pricing model framework

Performance analysis

Quant toolbox

Bayesian statistics

Minimum relative entropy

Limit cases

Visualization

40 . Copulas

Univariate results

Definition and properties of copulas

Special classes of copulas

Copula-marginal combination

Multivariate location-dispersion

Expectation and covariance

Simple tests

Refinements and pitfalls

Efficiency: Lévy processes

Mean-reversion (discrete state)

Long memory: fractional Brownian motion

Volatility clustering

AR(1)

Ornstein-Uhlenbeck

Multivariate Ornstein-Uhlenbeck

Spectral analysis of time series

Microstructure signals

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