Program

The Marathon includes four all-encompassing, mutually exclusive, core learning courses that cover all of the topics of the ARPM Lab, plus several refresher topics for preparation purposes.

Data Science for Finance

35-hours course
This course prepares for the Data Science for Finance module of the ARPM Certificate Body of Knowledge.
About the ARPM Lab
About quantitative finance: P and Q
Notation
The "Checklist": executive summary
Elliptical distributions
Scenario-probability distributions
Exponential family distributions
Mixture distributions
Univariate results
Definition and properties of copulas
Special classes of copulas
Implementation
Expectation and variance
Expectation and covariance
L2 geometry
Quest for invariance
Simple tests
Efficiency: random walk
Mean-reversion (discrete state)
Long memory: fractional integration
Volatility clustering
Multivariate quest
Order-one autoregression
VARMA processes
Wold representation
Cramer representation
Cointegration
Estimation
Setting the flexible probabilities
Historical
Maximum likelihood principle
Maximum likelihood
Missing data
Robustness
(Dynamic) copula-marginal
Bayesian statistics
Bayesian estimation
Factor models and learning
Overview
Regression LFM's
Principal component LFM's
Systematic-idiosyncratic LFM's
Cross-sectional LFM's
Overview
Point vs. probabilistic statements
Inference and learning
Least squares regression
Bias versus variance
Classification
Least squares autoencoders
Discriminant regression
Discriminant classification
Probabilistic graphical models
Overview
Least squares dynamic models
Wiener-Kolmogorov filtering
Dynamic principal component
Probabilistic state space models
Foundations of decision theory
Background
Estimation risk assessment
Regularization
Shrinkage
Sparse principal component
Ensemble learning
Time series models
Maximum likelihood
Bayesian
Mixed approach
Fit and assessment
Logistic regression
Interactions
Encoding
Regularization
Trees
Gradient boosting
Cross-validation

Testimonials

Our thousands of Alumni include senior executives from world-renowned banks such as Goldman Sachs and Morgan Stanley, funds such as BlackRock, Two Sigma and AQR, and a wide range of other professionals and academics with different backgrounds.

Sign up for the ARPM Marathon

SIGN UP NOW
This site uses cookies. By continuing to browse the site you are agreeing to our use of cookies.
Review our cookies policy for more information.