L*PARC Lehrbass Predicitive Analytics and Risk Consulting

Juni 15, 2024

Data Science

Filed under: — lehrbass @ 7:10 am

Frank Lehrbass is Professor for Finance & Data Science

His Current Lectures in Data Science:


Selected Examples of Applied Research 1997-2024:

Mathematical Model      Research Question                          Where and when published

FEM, REM                          How IT boosts RoE                             ifes WP 2024

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

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