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Advanced Data Analysis

  • Enseignant(s): D.Duellmann
  • Titre en français: Analyse de données avancée
  • Cours donné en: anglais
  • Crédits ECTS: 6 crédits
  • Horaire: Semestre de printemps 2017-2018, 4.0h. de cours (moyenne hebdomadaire)
  •  séances
  • site web du cours site web du cours
  • Formations concernées:
    Maîtrise universitaire ès Sciences en finance : Entrepreneuriat financier et science des données

    Maîtrise universitaire ès Sciences en finance, Orientation finance d'entreprise

    Maîtrise universitaire ès Sciences en finance, Orientation gestion des actifs et des risques



The objective of the course is to gain practical familiarity with current computer aided data analysis and machine-learning approaches. Starting from classical regression introduced earlier, we will investigate recent statistical learning techniques, go beyond linear models and explore unsupervised approaches.

In the second part of the course we will turn to deep learning techniques and develop, evaluate and optimise neural network models using current implementation frameworks such as Keras and Tensorflow.


Statistical Learning

  • Resampling Methods, Cross Validation, Bootstrap
  • Selection and Regularisation, Ridge Regression, Lasso, Dimension Reduction
  • Beyond Linear Models: Polynomial Regression, Splines, Generalised Additive Models (GAM)
  • Tree-Based Methods: Regression & Classification Trees, Bagging, Random Forrests, Boosting
  • Support Vector Machines (SVMs), Support Vector Classifier, Multi-Class SVMs
  • Unsupervised Learning: Principle Component Analysis, K-Means, Hierarchical Clustering

Deep Learning

  • Basic Neural Networks, Activation Functions, Hyperparameters, Gradient-Based Learning, Back-Propagation
  • Regularisation for Deep Learning, Training Optimisation, Parallelisation and GPU Usage
  • Convolutional Networks (CNNs), Recurrent and Recursive Networks(RNN), Long Short-Term Memory Networks (LSTM)
  • Vectorisation, Selecting Hyper Parameters, Debugging Help & Techniques
  • Applications: Computer Vision, Speech Recognition, Natural Language Processing

Programming: students will learn to develop analysis programs in "R" using the popular RStudio environment to apply the concepts and tools to real data. During the practical part, we will put some emphasis on interactive, graphical data analysis and the use of R workbooks to create comprehensive and repeatable research reports.


  1. An Introduction to Statistical Learning (with Applications in R), James, Witten, Hastie, Tibshirani, Springer
  2. Deep Learning, Goodfellow, Bengio, Courville, MIT Press
  3. R for Data Science: Import, Tidy, Transform, Visiualize and Model Data, Wickham and Grolemund, O'Reilly


  1. Basic econometrics
  2. Datascience for finance


1ère tentative

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