Statistical programmer/financial economist interested in quantitative market risk and empirical asset pricing. My projects are fully reproducible.
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sharelab.com
- Hong Kong, Germany, UK
- christiansatzky.com
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forecasting-realized-volatility-using-supervised-learning
forecasting-realized-volatility-using-supervised-learning PublicTraditionally, volatility is modeled using parametric models. This project focuses on predicting EUR/USD volatility using more flexible, machine-learning methods.
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asian-option-pricing-in-r
asian-option-pricing-in-r PublicIn this article, I present methods to efficiently estimate the price and the probability of exercise for vanilla and exotic options in R. In addition, I compare the empirical delta between European…
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silver-commodity-market-timing
silver-commodity-market-timing PublicIn this article, I present a simple, macroeconomic pricing model for the silver commodity. I construct a statistical fair-value indicator for the silver spot price using recent U.S. data.
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