Quant Marathon program

Courses

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

Refreshers for Python and MATLAB are also available on demand.

Data Science for Finance

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
Quest for invariance
Simple tests
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
Robustness
(Dynamic) copula-marginal
Bayesian statistics
Bayesian estimation
Step 3. Estimation - Historical
Step 3. Estimation - Monte Carlo
close cookie
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.