Statistical Methods in Finance 2019

The StatFin2021 Data Science Workshop aims to provide participants exposure to the Principles, Techniques and Tools of Data Science including their applications to quantitative finance.

Date and Venue

28-30 July, 2021
Virtual Platform

Who Can Apply?

• PhD students, Post-doctoral researchers and faculty in mathematics, statistics, business, economics and physics.
• Participants from the industry are encouraged to apply with a paper to be considered for presentation in the contributed paper sessions.
• Bachelors and Masters students can apply as well, provided at least one full course on Statistics is taken by the student.

Prerequisites

Some basic computing knowledge (and coding experience in some language like R/python) is recommended. Basic concepts of statistics, probability, linear algebra and high School calculus will be very helpful. Creative thinking, learnability and "can do" attitude is extremely important.

Participants will be doing hands-on projects with R.

Topics:

• Supervised Learning
• Classification -- Credit Scoring with German Credit Score Data
  List of algo: (i) Logistic Regression, (ii) Linear Discriminant Analysis, (iii) Naive Bayes, (v) Decision Tree, (vi) Random Forest (vi) SVM, (vii) Neural Network
• Regression -- Capital Asset Pricing Model with US Stock Market Data
• Unsupervised Learning
• Cluster Stocks based on Risk Profile
• PCA on Stocks Return to discover the major direction of the market
• Portfolio Optimization
• Option Pricing with Monte Carlo Method
• Risk Analysis

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