Statistical Methods in Finance
MSc Mathematics and Finance 2019-2020


Assignments
    Exercise Set 1 (Solutions, updated 26/10/19)
    Exercise Set 2 (Solutions, updated 6/11/19)
    Exercise Set 3 (Solutions)


Course Material
    Lecture notes (this version: 5/12/2019)
    [IPynb] Image compression (the image used is this one)
    [IPynb] Descriptive statistics
    [IPynb] BrentData
    [IPynb] Distributions
    [IPynb] MarkowitzFrontier
    [IPynb] CorrelateGaussians
    [IPynb] Glivenko-Cantelli
    [IPynb] Assignment 1
    [IPynb] PCA
    [IPynb] Kernel PCA
    [IPynb] Random matrix
    [IPynb] Linear regression
    [IPynb] Rough volatility
    [PDF] Revision Checklist
    [PDF] Exam 2018-2019 (Solutions)


Useful websites and articles
    CBOE
    Oxford-Man - Realised volatility data
    Moody's Analytics - PCA for yield curve modelling
    Credit Suisse - PCA unleashed
    Bouchaud, Bun, Potters - Cleaning large Correlation Matrices
    Bitcoin data

Project
[XLS] Group details
[PDF] Instructions
Papers:
    [Topic 1] Clauset, Shalizi, Newman - Power-law distributions in empirical data
    [Topic 2] Allison - Handling missing data by Maximum Likelihood
    [Topic 3] Challet - Sharper asset ranking from total drawdown durations
    [Topic 4] Anderson, Noss - The Fractal Market Hypothesis and its implications for the stability of financial markets
    [Topic 5] Chew, Puri, Sood, Wearne - Using Natural language processing for stock prediction
    [Topic 6] Borri - Conditional tail-risk in cryptocurrency markets
    [Topic 7] Yang - Normal Log-normal mixture: leptokurtosis, skewness and applications
    [Topic 8] Challet - Moment-free Sharpe ratio estimation from total drawdown durations
    [Topic 9] Cordi, Challet, Muni Toke - Testing the causality of Hawkes processes with time reversal
    [Topic 10] Malevergne, Sornette - Testing the Gaussian copula hypothesis for financial assets dependences
    [Topic 11] Trucios, Hotta, Valls Pereira - On the robustness of the principal volatility components
    [Topic 12] Camba-Mendez, Kapetanios - Statistical tests and estimators of the rank of a matrix