Frank Lehrbass is Professor for Finance & Data Science
His Current Lectures in Data Science:
- At IT.NRW Applied AI with PyTorch.
- Zertifikatskurs Business Data Analytics, since summer 2022. Link: https://www.fom.de/de/das-studium/spezialisierungen/business-data-analytics.html
- Applied Business Analytics, since fall 2019. FOM University of Applied Sciences, Düsseldorf (MSc in Big Data & Business Analytics).
- Big Data Analytics, since fall 2018. FOM University of Applied Sciences, Düsseldorf (MSc in Big Data & Business Analytics).
Selected Examples of Applied Research 1997-2022:
Mathematical Model Research Question Where and when published
Quantile Regression How BaFin boosted Wirecard returns Book @ Springer 2022
SURE Do sport sponsorships pay off ? ifes WP 2022
(E)GARCH Value in volatility targeting? ifes WP 2021
XAI: Convolutional NN How to recognize traffic signs? ifes WP 2021
Random Forest / XGB What drives rents in Dusseldorf? ifes WP 2021
Regression / MLP Arbitrage potential in FX EUR/GBP Journal of Financial Data Science 2021
Regression / MLP What drives hedge fund returns? ifes WP 2021
Various ML Techniques AI for better movie business? ifes WP 2020
Recurrent NN / MLP How high will retail sales be? Book @ Springer 2020
Quantile Regression Does promotion work? Journal of Retailing Conference 2019
Fixed Effects Model Do banks cook the books? WPg 2019
Decision Trees When do M&A deals fail? ifes WP 2019
Random Effects Model Who comes to general assembly? Corporate Finance 2019
Copulae Are supervisors too conservative? ifes WP 2018
Convolutional NN Did the machine learn anything? SSRN 2018
Logit Model / MLP Will Italy loose Investment Grade? ifes WP 2018
DCC / SURE Who believes in no more bailouts? SSRN 2018
Regression What drives the value of bitcoins? Corporate Finance 2018
Logit Model Do migrants invest differently? Die Bank 2018
Ordered Logit What drives sovereign ratings? RISIKO MANAGER 2018
Random Effects Model What determines auditing fees? WPg 2017
Risk Measures From VaR to ES: Just much ado? RISIKO MANAGER 2017
GARCH / Backtesting How much risk is in coal trading? ifes WP 2016
Portfolio models Analysis of Asset Backed Securities Springer 2004
Jump Diffusion Risks of Commodity Finance Physica 2003
Term structure models Simple Approach to Country Risk Springer 2000
Kohonen maps / MLP Intraday DAX-Futures Trading WIRTSCHAFTSINFORMATIK 1997