Statistical Arbitrage, Information Theory, Statistical Learning, Computational Finance, ...
YATS Risk Managament Model for Hedge Funds
to measure Value at Risk using the most suitable model (GARCH, Riskmetrics, Extreme Value Theory), optimizing risk adjusted performance measure (such as the Stutzer index, Hodges Generalied Sharpe Ratio, ...) under risk measures (drawdown, VaR, CVaR, ...)
Sample reports for Hedge Funds:
Monthly Sample Report
Weekly Sample Report
a powerful trading platform
to develop automated trading solutions,
featuring statistical arbitrage and artificial intelligence based strategies
Back Office and Front Office Information Systems:
for investment banking and online brokerage:
main references : information integration for Boursorama (ex Fimatex),
decision aid tools for Fideuram Wargny, ...
Financial Risk Management, Hedg Funds, Econometry,
Development, applications and Data Management