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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.

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

Main definitions

Relationships among processes

Discrete time processes

Pitfalls

Order-one autoregression

VARMA processes

Linear state space models

Levinson filtering

Wiener-Kolmogorov filtering

Dynamic principal component

Quest for invariance

Simple tests

Efficiency: random walk

Mean-reversion (continuous state): ARMA

Mean-reversion (discrete state)

Long memory: fractional integration

Volatility clustering

Multivariate quest

Cointegration

Step 2. Quest for invariance - Historical

Step 2. Quest for invariance - Monte Carlo

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