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Quant Marathon program

Courses

The Quant Marathon guides students through the ARPM Lab in seven all-encompassing, mutually exclusive, core learning courses.

Primers for Python and MATLAB are also available on demand.

Advanced Data Science

This course prepares for the Advanced Data Science module of the ARPM Certificate Body of Knowledge.

No-data decision problem

Data-driven decision problem

Approaches

Prediction

Learning

Functional fit

Linear basis

Trees

Neural networks

Gradient boosting

Kernel trick

Least squares regression

Quantile and non-least-squares regression

Machine learning for hedging: introduction

Machine learning for hedging: least squares regression

Machine learning for hedging: least absolute distance regression

Discriminant regression

Application: probabilistic regression in the stock market

Maximum likelihood

Regularization and features selection

Bayesian

Mixed approach

Binary classification

Discriminant classification

Credit default classification

Background

Fit and assessment

Logistic regression

Interactions

Encoding

Regularization

Trees

Gradient boosting

Cross-validation

Least squares autoencoders

Graphical models

k-means clustering

Shrinkage

Bias versus variance

Estimation risk assessment

Shrinkage

Regularization

Sparse principal component

Ensemble learning

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