EducationMsC in Engineering with top marks and research assistant of Econometrics for Italian top University.
Business Expert in Risk Management. Academic Research in Quantitative Finance and Algorithmic Trading.
Common discipline covered: Econometrics (with applications in R, Stata, SPSS, Eviews, Gretl), Statistics, Financial Mathematics, Quantitative Support for Master Degree Thesis (from Regressions to all statistical applications), Risk Management, Mathematics, Computer Science
I help with assignments, exams, presentations, advanced research, dissertations, big programming projects and general skill enhancement. Proficient in all major statistical packages: R, SPSS, Stata, Matlab, EViews, Gretl.
Covering university courses all around Europe: Italy, United Kingdom, France, Germany, Spain, Portugal,...
ExperienceTechnical Skills (application and often implementation from scratch):
1) Econometrics: Multivariate Regression, Discrete variable models (i.e. Logit), Time series models (i.e. AR/MA, ARCH/GARCH), Vector AutoRegressive model (VAR), Cointegration (Engle-Granger, VECM), Long-memory process (Fractional Integration), Regime switching models (Hamilton Filter), Kalman Filter, Unobserved Components ARIMA model, Beveridge-Nelson decomposition (Hansen's approach), Copula methods, Metropolis-Hastings algorithm, Black-Litterman model (Meucci's approach), Hierarchical Risk Parity
2) Quantitative Trading (Mid-High Frequency Trading): Stat Arb & Pairs Trading models, Order Imbalance & Order Replenishment effects on intraday returns, Optimal Setup of Entry-Exit Trading Triggers for Quant Trading Strategies, Stat Arb Bertram Model, Data sampling rules for non equally-spaced data (time vs. volume clock for high freq data), Bid-Ask Bounce Bias & Sahalia Method for Microstructure Noise Estimation & Test, Hayashi-Yoshida Lead-Lag Index, D'Aspremont Method for Mean Rev Portfolios, Market Fragmentation in Financial Markets, High-Low prices & Pivot Points trading rule, Trend Following Strategy, Avellaneda-Stoikov Model for Optimal Trading Execution
3) Risk Management: P&L production & analysis for energy trading, VaR & Profit at Risk for energy trading, Merton approach for Credit VaR with/without credit rating migrations, EVT & Copula-based VaR, Stress Test models, Structured Credit Models for Regulatory Risk-Transfer, Additional Value Adjustments for Balance Sheet, Risk Aggregation, Model Risk, Interpolation Methods for multi-year PD Term Structure, Methods for Semidefinite-Positive Corr Matrix Adjustment
4) Financial Mathematics: Longstaff-Schwartz, HJM model (Glasserman's scheme), Greeks with Finite Difference Method, CPPI Products & Cushion Multiplier Setup
5) Machine Learning: Support Vector Machine, Decision Tree, Principal Component Analysis & Regression, XGBoost, Random Forest
HobbiesPossibility to meet in Milan in my office and online via Skype.
From Monday to Friday: after 8.30 PM Italian Time
On Saturday: from 9 AM to 6 PM Italian Time
On Sunday: from 10 AM to 13 AM Italian Time
SAT Mathematics, 3rd Grade math, 2nd Grade math, 1st Grade math, 12th Grade math, 11th Grade math, 10th Grade math, SAT Subject Test in Mathematics Level 2, SAT Subject Test in Mathematics Level 1, 4th Grade math, PSAT Mathematics, Mathematical Foundations for Computer Science, IB Mathematics SL, IB Mathematics HL, IB Mathematical Studies SL, IB Further Mathematics HL, GRE Subject Test in Mathematics, Finite Mathematics, 5th Grade math, 6th Grade math, 7th Grade math, 8th Grade math, 9th Grade math, ACCUPLACER College-Level Math, ACT Math, ASPIRE Math, Competition Math, Elementary Math, HSPT Math, Math, Math, Middle School Math, SAT Math, Microeconomics, Statics, SAT Subject Test in United States History, CLEP History of the United States II: 1865 to the Present, CLEP History of the United States I, Business Statistics, Biostatistics, AP United States History, AP Statistics, Statistics, Macroeconomics, IB Economics SL, IB Economics HL, Economics, CLEP Principles of Microeconomics, CLEP Principles of Macroeconomics, AP Microeconomics, AP Macroeconomics, Statistics Graduate Level, Business, Business Enterprise, CLEP Introduction to Business Law, IB Business & Management HL, IB Business & Management SL, International Business, CLEP Financial Accounting, Finance, Algorithms, Data Structures, Applied Mathematics, CAHSEE Mathematics, CLEP College Mathematics, COMPASS Mathematics
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