Program

Logo ARPM Quant Marathon

The Quant Marathon guides students through the ARPM Lab in seven all-encompassing, mutually exclusive, core learning courses, plus optional coding refresher courses 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.
Main definitions
Relationships among processes
Covariance stationary processes
Order-one autoregression
VARMA processes
Linear state space models
Filtering
Spectral representation
Wold representation
Quest for invariance
Simple tests
Refinements and pitfalls
Efficiency: random walk
Mean-reversion (discrete state)
Long memory: fractional integration
Volatility clustering
Multivariate quest
Cointegration
Estimation
Setting the flexible probabilities
Historical
Maximum likelihood principle
Maximum likelihood
Missing data
Bayesian estimation
Robustness
(Dynamic) copula-marginal
Bayesian statistics
Step 3. Estimation - Historical
Step 3. Estimation - Monte Carlo

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.

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