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STAGE Spatio-temporal classification of China’s stocks based on Rényi difference matrix
Date de mise à jour de l’offre
Dimtech SAS :
Dimtech est une société de recherche basée Paris. il est spécialisée en R&D des algorithmes de trading.
Description de la mission
Problematic
At the end of this research, we must be able to know what China’s stocks might be governed by similar dynamics and
on which time scales. By dynamics we mean:
- What is the degree of non-Markovian process for each stock and for given timescales?
- What is the degree of predictability of each stock on given timescales?
- What is the difference of dynamics'behaviors (i.e. complexity measures by the Rényi entropy) between each
stock and for given timescales?
- What type and group of stock provide the less information (in the sense of Shannon) on its future behaviors
and for given timescales?
Answer, Solution
By being able to answer these previous questions, we should be able to provide strong quantitative answers regarding
fundamentals topics in quantitative research namely:
- On what individual or group of stocks from China’s Index, “volatility models”, “noise models or “flow
trading strategies might be suitable to apply, and regarding which timescales?
- What individual or group of stocks from China’s index may exhibit on high frequency timeframe, volatility
behaviors with less predictability, weak memory process, and therefore might be more suitable for long term
investment strategies rather than “flow trading strategies”?
Perspective of future work
The outcome of this research can potentially lead us to work on a more ambitious question namely:
- Is it possible to develop a new approach to the Portfolio Allocation Theory, not based on correlation matrix
that does not take into account the underlying behaviors of stock volatility but on complexity matrix?
- Is the “Complexity Matrix approach more competitive to the well-known “Random Matrix approach to
Portfolio Management?
At the end of this research, we must be able to know what China’s stocks might be governed by similar dynamics and
on which time scales. By dynamics we mean:
- What is the degree of non-Markovian process for each stock and for given timescales?
- What is the degree of predictability of each stock on given timescales?
- What is the difference of dynamics'behaviors (i.e. complexity measures by the Rényi entropy) between each
stock and for given timescales?
- What type and group of stock provide the less information (in the sense of Shannon) on its future behaviors
and for given timescales?
Answer, Solution
By being able to answer these previous questions, we should be able to provide strong quantitative answers regarding
fundamentals topics in quantitative research namely:
- On what individual or group of stocks from China’s Index, “volatility models”, “noise models or “flow
trading strategies might be suitable to apply, and regarding which timescales?
- What individual or group of stocks from China’s index may exhibit on high frequency timeframe, volatility
behaviors with less predictability, weak memory process, and therefore might be more suitable for long term
investment strategies rather than “flow trading strategies”?
Perspective of future work
The outcome of this research can potentially lead us to work on a more ambitious question namely:
- Is it possible to develop a new approach to the Portfolio Allocation Theory, not based on correlation matrix
that does not take into account the underlying behaviors of stock volatility but on complexity matrix?
- Is the “Complexity Matrix approach more competitive to the well-known “Random Matrix approach to
Portfolio Management?
Profil recherché
Etudiant en mathématique 4/5 année (cycle ingénieur)
Matrice complexe
Mécanique statistique
Python
Matrice complexe
Mécanique statistique
Python
Niveau de qualification requis
Bac + 4/5 et +
Les offres de stage ou de contrat sont définies par les recruteurs eux-mêmes.
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EmployeurDimtech SAS
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Secteur d’activité de la structureEmploi - Economie - Innovation - Numérique
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Effectif de la structureDe 0 à 10 salariés
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Site internet de la structurehttp://www.111dimtech.com
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Type de stage ou contratStage pour lycéens et étudiants en formation initiale
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Date prévisionnelle de démarrage
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Durée du stage ou contratPlus de 4 mois et jusqu'à 6 mois
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Le stage est-il rémunéré ?Oui
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Niveau de qualification requis
Bac + 4/5 et + -
Lieu du stage9 rue du 4 septembre
75002 PARIS 2E ARRONDISSEMENT -
Accès et transportsMetro 3 - Bourse