Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Bruno Spilak

Contact

E-mail:

bruno.spilak [at] hu-berlin [dot] de

BrunoSpilak
Phone:

 

Office:

Office hours:

Dorotheenstr. 1

Upon agreement

Postal address:

Ladislaus von Bortkiewicz Chair of Statistics
School of Business and Economics
Humboldt-Universität zu Berlin
Unter den Linden 6
10099 Berlin, Germany

 

Education

2018 - present PhD student in statistics, Humboldt-Universität zu Berlin  
2016 - 2018 Master of Science in Statistics, Humboldt-Universität zu Berlin and ENSAI (joint degree)
2014 - 2016 Master of Science in Statistics, ENSAI, Rennes, France
2014 - 2015 Bachelor of Science in Mathematics, Université de Rennes 1 and ENSAI (joint degree), Rennes, France
2012 - 2014

Post-secondary preparatory classes, Khâgne BL (Classes préparatoires aux grandes écoles, Khâgne BL – CPGE) - Lycée Henri IV, Paris, France

 

Research Interest

  • Nonparametric Statistics

  • Machine learning

  • Reinforcement learning
  • Quantitative Finance

 

Work in Progress

  • Nonlinear factors in portfolio allocation (with Wolfgang Karl Härdle)

  • ReLU networks and nonlinear PCA

 

 

Teaching

 

Publications