The Analysis of Share Market using Random Forest & SVM
E-QuanT(TimeSeries)
1. Quantitative
Analysis
Mario Dell’Era
Estimation
Theory
Parametric
Estimation
Properties of
punctual Estimators
Likelihood function
Bayesian
Estimators
Nonparametric
Estimation
Mean square Error
estimation
Financial Time
Series
Empirical Financial
Laws
Jarque-Bera test
Returns and Volatility
Estimators
Volatility Estimators
(EWMA, ARMA,
ARCH, GARCH)
Long-Run Volatility
Forecasting and
Term Structure
Energy Markets
Market Model
Mario Dell’Era
Quantitative Risk Analyst
E-QuanT bootcamp 2014 at IMT in Lucca(IT) 13-17 October 2014
Mario Dell’Era (Quantitative Risk Analyst) Quantitative Analysis E-QuanT Bootcamp 2014 0 / 65
2. Quantitative
Analysis
Mario Dell’Era
Estimation
Theory
Parametric
Estimation
Properties of
punctual Estimators
Likelihood function
Bayesian
Estimators
Nonparametric
Estimation
Mean square Error
estimation
Financial Time
Series
Empirical Financial
Laws
Jarque-Bera test
Returns and Volatility
Estimators
Volatility Estimators
(EWMA, ARMA,
ARCH, GARCH)
Long-Run Volatility
Forecasting and
Term Structure
Energy Markets
Market Model
Quantitative Analysis
with MatLab
Mario Dell’Era
Analyst at IntesaSanpaolo and External Professor at Pisa University
m.dellera@be-tse.it
Quantitative Risk Analyst
E-QuanT bootcamp 2014
Mario Dell’Era (Quantitative Risk Analyst) Quantitative Analysis E-QuanT Bootcamp 2014 1 / 65
3. Quantitative
Analysis
Mario Dell’Era
Estimation
Theory
Parametric
Estimation
Properties of
punctual Estimators
Likelihood function
Bayesian
Estimators
Nonparametric
Estimation
Mean square Error
estimation
Financial Time
Series
Empirical Financial
Laws
Jarque-Bera test
Returns and Volatility
Estimators
Volatility Estimators
(EWMA, ARMA,
ARCH, GARCH)
Long-Run Volatility
Forecasting and
Term Structure
Energy Markets
Market Model
1 Estimation Theory
Parametric Estimation
Properties of punctual Estimators
Likelihood function
Bayesian Estimators
Nonparametric Estimation
Mean square Error estimation
2 Financial Time Series
Empirical Financial Laws
Jarque-Bera test
Returns and Volatility Estimators
Volatility Estimators (EWMA, ARMA, ARCH, GARCH)
Long-Run Volatility Forecasting and Term Structure
Energy Markets
Market Model
Mario Dell’Era (Quantitative Risk Analyst) Quantitative Analysis E-QuanT Bootcamp 2014 1 / 65
