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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 Foundations module of the ARPM Certificate Body of Knowledge.

Elliptical distributions

Scenario-probability distributions

Exponential family distributions

Mixture distributions

Other special classes of distributions

Univariate results

Definition and properties of copulas

Special classes of copulas

Implementation

Expectation and variance

Expectation and covariance

L2 geometry

Generalized location-dispersion: affine equivariance

Generalized location-dispersion: variational principles

Factor models and learning

Overview

Regression LFM's

Cross-sectional LFM's

Principal component LFM's

Factor-analysis LFM's

Application: principal component analysis of the yield curve