Ph.D. Candidate in Econometrics
EDUCATION
University of Montreal Montreal, Canada
Ph.D. in Econometrics, Big data and Financial Markets (Expected May 2020)
Coursework : Quantitative analysis, Advanced econometrics, Big data techniques, risk neutral density estimation for option pricing, curve forecasting and application to the prediction of the cumulative intraday returns of S&P 500, Advanced macroeconomics.
Sub-Regional Institute of Statistics (ISSEA) Yaounde, Cameroon
Msc. in Statistics and Data Science for Finance and Insurance (2009-2012)
Coursework : Advanced statistics, probability theory, stochastic calculus, econometrics of times series analysis and panel data, Machine learning and big data techniques, optimization techniques, quantitative analysis, econometric modelling with R, STATA.
University of Yaoundé I Yaounde, Cameroon
Bsc. Degree in Mathematics (2005-2008)
Coursework : Linear Algebra, Logic, computer science, Abstract mathematics, statistics, probability theory, numerical analysis, quantitative analysis.
CERTIFICATIONS
International Certificate in Algorithmic Trading, QuantInsti. (April 2019 – September 2019)
Coursework: Algotrading and Quant strategies, advanced statistics for quant strategies, market microstructure for trading, Machine learning for trading, econometric models for risk management, Trading and back-testing platform, Options Trading and strategies, quantitative analysis with Python, R and Matlab.
Certificate in Machine Learning Online, Stanford University. (2019)
Coursework: multilinear regression, logistic regression, support vector machine, neural network, K-means, dimensionality reduction, clustering, regularization, linear algebra.
PROFESSIONAL EXPERIENCE
University of Montreal Montreal, Canada
Lecturer in Advanced Econometrics and Quantitative Analysis, (2016 – Present)
? Provided weekly lectures and tutorials in Advanced Econometrics and Big data techniques, Ph.D. Students track.
? Conducted weekly practical session with the usage of statistical analysis software, Ph.D. Students follow-up.
Ministry of Economy Yaounde, Cameroon
Data Scientist, Regional chief of Economics, (2012-2014)
? Managed a team of 6 peoples for the quantitative analysis.
? Produced periodic reports for the monitoring and evaluation of public and private investment projects. (87% achievement rate)
Mobile Telephone Network (MTN) Douala, Cameroon
Data Scientist (Internship), (June 2011 – August 2011)
? Designed a new market segmentation of customers using advanced statistical models in order to fit the demand.
? Developed churn and refill delay prediction model using a large dataset of customers (80% prediction performance).
WORKING PAPERS AND PROJECTS
“Intraday Stock Market Forecasting via Functional Time Series”. (Job Market Paper)
? Compared four regularization methods via Monte Carlo simulation and show that Functional Landweber-Fridman outperforms the others.
? Predict the S&P 500 and show that traders should care about the periods 09:30 AM – 10:30 AM and 02:30 PM – 04:00 PM.
“Statistical Arbitrage in the Stock Market with the Partial Least Square Approach”.
? developed a mean reversion strategy for the U.S. Equity market and documented a Sharpe ratio of 1.83 in the period 2000 – 2018.
? Show that the market neutral Partial Least Squares strategy outperforms the ETF-based strategy over the U.S Equity market.
“Option pricing using functional linear regression model”.
? Developed a novel model setting for option pricing using functional data analysis framework.
? Provided theoretical analysis and empirical backtesting using S&P 500.
“Prepaid customers’ refill delay prediction for a telecommunication company”.
? Designed a survival model to predict customers spending behavior. (80% prediction performance).
? Developed a new segmentation approach of the prepaid customers based on Recency-Frequency-Monetary.
COMPUTER SKILLS / OTHERS
Programming skills: MATLAB, Python, R, STATA. Other softwares: Latex, Eviews, SPSS, MS Office.
Volunteer: Ph.D. Students weekly discussion Workshop, Montreal, Canada (2018-2019); 11th Econometric Society World Congress, Montreal, Canada.
EDUCATION
University of Montreal Montreal, Canada
Ph.D. in Econometrics, Big data and Financial Markets (Expected May 2020)
Coursework : Quantitative analysis, Advanced econometrics, Big data techniques, risk neutral density estimation for option pricing, curve forecasting and application to the prediction of the cumulative intraday returns of S&P 500, Advanced macroeconomics.
Sub-Regional Institute of Statistics (ISSEA) Yaounde, Cameroon
Msc. in Statistics and Data Science for Finance and Insurance (2009-2012)
Coursework : Advanced statistics, probability theory, stochastic calculus, econometrics of times series analysis and panel data, Machine learning and big data techniques, optimization techniques, quantitative analysis, econometric modelling with R, STATA.
University of Yaoundé I Yaounde, Cameroon
Bsc. Degree in Mathematics (2005-2008)
Coursework : Linear Algebra, Logic, computer science, Abstract mathematics, statistics, probability theory, numerical analysis, quantitative analysis.
CERTIFICATIONS
International Certificate in Algorithmic Trading, QuantInsti. (April 2019 – September 2019)
Coursework: Algotrading and Quant strategies, advanced statistics for quant strategies, market microstructure for trading, Machine learning for trading, econometric models for risk management, Trading and back-testing platform, Options Trading and strategies, quantitative analysis with Python, R and Matlab.
Certificate in Machine Learning Online, Stanford University. (2019)
Coursework: multilinear regression, logistic regression, support vector machine, neural network, K-means, dimensionality reduction, clustering, regularization, linear algebra.
PROFESSIONAL EXPERIENCE
University of Montreal Montreal, Canada
Lecturer in Advanced Econometrics and Quantitative Analysis, (2016 – Present)
? Provided weekly lectures and tutorials in Advanced Econometrics and Big data techniques, Ph.D. Students track.
? Conducted weekly practical session with the usage of statistical analysis software, Ph.D. Students follow-up.
Ministry of Economy Yaounde, Cameroon
Data Scientist, Regional chief of Economics, (2012-2014)
? Managed a team of 6 peoples for the quantitative analysis.
? Produced periodic reports for the monitoring and evaluation of public and private investment projects. (87% achievement rate)
Mobile Telephone Network (MTN) Douala, Cameroon
Data Scientist (Internship), (June 2011 – August 2011)
? Designed a new market segmentation of customers using advanced statistical models in order to fit the demand.
? Developed churn and refill delay prediction model using a large dataset of customers (80% prediction performance).
WORKING PAPERS AND PROJECTS
“Intraday Stock Market Forecasting via Functional Time Series”. (Job Market Paper)
? Compared four regularization methods via Monte Carlo simulation and show that Functional Landweber-Fridman outperforms the others.
? Predict the S&P 500 and show that traders should care about the periods 09:30 AM – 10:30 AM and 02:30 PM – 04:00 PM.
“Statistical Arbitrage in the Stock Market with the Partial Least Square Approach”.
? developed a mean reversion strategy for the U.S. Equity market and documented a Sharpe ratio of 1.83 in the period 2000 – 2018.
? Show that the market neutral Partial Least Squares strategy outperforms the ETF-based strategy over the U.S Equity market.
“Option pricing using functional linear regression model”.
? Developed a novel model setting for option pricing using functional data analysis framework.
? Provided theoretical analysis and empirical backtesting using S&P 500.
“Prepaid customers’ refill delay prediction for a telecommunication company”.
? Designed a survival model to predict customers spending behavior. (80% prediction performance).
? Developed a new segmentation approach of the prepaid customers based on Recency-Frequency-Monetary.
COMPUTER SKILLS / OTHERS
Programming skills: MATLAB, Python, R, STATA. Other softwares: Latex, Eviews, SPSS, MS Office.
Volunteer: Ph.D. Students weekly discussion Workshop, Montreal, Canada (2018-2019); 11th Econometric Society World Congress, Montreal, Canada.