Mattia

5 (4 reviews)

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Number of students Mattia has accompanied since arriving at Superprof

5 (4 reviews)

J$8,867/hr

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Algorithms

Algorithmic Trading - Model Design and Backtesting using various statistical & IT softwares

Algorithms

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Mattia is one of our best Algorithms tutors. They have a high-quality profile, verified qualifications, a quick response time, and great reviews from students!

About Mattia

echnical Skills (1) Econometrics: Multivariate Regression, Discrete variable models (ie Logit), Time series models (ie AR / MA, ARCH / GARCH), Vector AutoRegressive model (VAR), Cointegration (Engle -Granger, VECM), Long-memory process (Fractional Integration), Regime switching models (Hamilton Filter), Kalman Filter, Unbserved 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-Spaced Data, Bid-Ask Bounce Bias & Sahalia Method for Microstructure Noise Estimation & Test, Hayas hi-Yoshida Lead-Lag Index, D'Aspremont Method for Revolution Portfolios, Market Fragmentation in Financial Markets, High-Low Prices & Pivot Points Trading Rules, 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 Correction 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

About the lesson

MSC 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 disciplines covered: Econometrics (with applications in R, Stata, SPSS, Eviews, Gretl), Statistics, Financial Mathematics, Quantitative Support for Master's Degree Thesis (Risk Management, Mathematics, Computer Science) 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. Average price is 30 GBP / hour, even if the hourly cost can vary according to topic and project complexity Coverage university courses all around Europe: Italy, United Kingdom, France, Germany, Spain, Portugal, ... Average hourly cost can change according to project complexity

Recommendations

Recommendations come from relatives, friends and acquaintances of the teacher

M

Markus

Never seen a teacher like this! I solved all my issues in few hours, obtaining a high grade
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M
Markus
Never seen a teacher like this! I solved all my issues in few hours, obtaining a high grade
M

Mario

Insegnante straordinario, riesce a rendere semplice anche le cose più difficili!
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M
Mario
Insegnante straordinario, riesce a rendere semplice anche le cose più difficili!
Peter

Impressive, with a perfect English! Top teacher in econometrics, data analysis and statistics. I had a problem with R & RStudio, he solved the issue in 2 hours! Incredible!!!
Read more

P
Peter
Impressive, with a perfect English! Top teacher in econometrics, data analysis and statistics. I had a problem with R & RStudio, he solved the issue in 2 hours! Incredible!!!
M

Mattia

Top Teacher in econometrics. No one like him!
Read more

M
Mattia
Top Teacher in econometrics. No one like him!
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Algorithmic Trading - Model Design and Backtesting using various statistical & IT softwares

Lesson location

Super Prof

About Mattia

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Algorithmic Trading - Model Design and Backtesting using various statistical & IT softwares

Lesson location

Super Prof

About Mattia

About the lesson

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