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Quant Finance - Predictive Analytics and Filtering for Finance


08 Feb 2016 - 16 Feb 2016

London & Online

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Register: click here

Dates 8, 9, 15 and 16 February 2016

Objectives: Scope and Purpose

The application of regime-switching models and filtering techniques gain in importance in financial modelling. Financial variables, like e.g. asset price dynamics, interest rates or asset volatilities can be modelled within a regime-switching framework to allow for switching market conditions. These conditions are typically unobservable, therefore filtering techniques are applied for a predictive analysis of financial variables.The aim of this workshop is to introduce the regime-switching framework and filtering techniques like e.g., Kalman Filters and the EM-algorithm. In addition Particle Filters are shortly presented. The use of these methods in the calibration of dynamic state space models as well as in the prediction of unobservable variables is discussed. States of the market are filtered and utilized to estimate parameters and calibrate financial models to market data. The predictions of future volatility and asset price distributions are explained with examples. Switching ARCH/ GARCH models for volatility modelling are introduced.

Learning Outcomes:

After successful completion of the workshop, the participants will

  • be able to:
    • apply standard filtering techniques to financial data sets,
    • apply concepts from time series modelling with regime shifts
    • utilize regime-switching models for a predictive analysis of asset prices and volatilities.
  • have acquired a good knowledge of regime-switching models and their applications and benefits in changing market situations.

Practical sessions:

In the practical sessions, the statistical software R is briefly introduced. It is utilized to demonstrate the filtering techniques and models with regime shifts in some examples. Practical application of basic filter techniques are demonstrated.

Workshop Format:

The workshop is well balanced between Theory and Practical Sessions.

Target Audience:

The workshop is designed to provide insight for a wide range of individuals such as financial quantitative analysts, risk analysts, consultants, and academics.

Price: Attend in Person in London @ £500 + VAT
Online Global Attendance @ £300 + VAT

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