Bruno Spilak
Contact
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Office: Office hours: |
Dorotheenstr. 1 Upon agreement |
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Ladislaus von Bortkiewicz Chair of Statistics |
Education
| 2018 - 2023 | 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
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Nonparametric Statistics
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Machine learning
- Reinforcement learning
- Quantitative Finance
- NLP
Publications
- Risk Budget Portfolios With Convex Non-negative Matrix Factorization, Spilak B., Härdle, W.K., 2023 (under review)
- Portfolio Tail-Risk Protection With Non-linear Latent Factors, Spilak B., Härdle, W.K., 2023 (under review)
Conferences
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Summer camp, Buckow, 2018: Deep Neural Networks for Cryptocurrencies Price prediction
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Haindorf Seminar, Haindorf, 2019: Deep Reinforcement Learning
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STAT of ML, Prague, Czech Republic, 2020: Tail-risk protection: Machine Learning meets modern Econometrics
- 29th Annual Conference on PBFEAM, Rutgers University, New Brunswick, NJ, 2021: Tail-risk protection: Machine Learning meets modern Econometrics
- ML approaches Finance and Management, HU Berlin, 2022: Does Non-linear Factorization of Financial Returns Help Build Better Portfolio?
Work in Progress
- ReLU networks and nonlinear PCA
- News sentiment analysis and portfolio
- DAI, NFT prices: NFT images style embedding
Teaching
- WS 21/22 Statistics of Financial Markets (Lecture, Exercise)
- SS 21 Statistics of Financial Markets II (Lecture)
- WS 20/21 Mathematical Statistics Seminar, Mathematical Foundations for Finance and Insurance (Lecture)
- SS 20 Statistics of Financial Markets II
- WS 19/20 Mathematical Foundations for Finance and Insurance (Lecture)
Presentations, courses, talks, Github and Quantlets 
- MLvsGARCH, mnistDeepLearning, CRIXdeeplearning, EmbeddingPortfolio
- https://github.com/BrunoSpilak
- Quantinar profile: https://quantinar.com/instructor/4673ceb4-2cec-4673-8a73-2bc9059faa70