Dr. Jan C. Neddermeyer

Research Interests

• Monte Carlo Methods
• Time Series Analysis
• Synchronization
• Computational Finance
• Statistical Arbitrage

Publications/Preprints

• Dahlhaus, R. and Neddermeyer, J. C. (2010a), Particle Filter-Based On-Line Estimation of Spot Volatility with Nonlinear Market Microstructure Noise Models,
  • Preprint: Version June 2010 pdf, Version March 2011 pdf

• Dahlhaus, R. and Neddermeyer, J. C. (2010b), On-Line Estimation of Spot Cross-Volatility with a State-Space Model for Non-Synchronous Tick-by-Tick Data,
  • Preprint.

• Kunkel, J., Neddermeyer, J. C., and Ludwig, T. (2010), Classification of network computers based on distributed of ICMP-echo round-trip times,
  • Research Papers, Staats- und Universitätsbibliothek Hamburg (Carl von Ossietzky, Von-Melle-Park 3, 20146 Hamburg) pdf

• Neddermeyer, J. C. (2010a), Nonparametric Partial Importance Sampling for Financial Derivative Pricing,
  • Quantitative Finance, in press. Preprint: pdf

• Neddermeyer, J. C. (2010b), Nonparametric Particle Filtering and Smoothing with Quasi-Monte Carlo Sampling,
  • Journal of Statistical Computation and Simulation, in press.

• Dahlhaus, R. and Neddermeyer, J. C. (2009), Bayesian Phase Estimation for Noisy Quasi-Periodic Time Series,
  • Preprint.

• Neddermeyer, J. C. (2009), Computationally Efficient Nonparametric Importance Sampling,
  • Journal of the American Statistical Association, 104, 788-802. pdf, (JASA website)

Conference/Workshop Presentations

• Nonlinear Market Microstructure Noise Models, Particle Filter-based On-line Estimation of Spot Cross-Volatility, and State-Space Models for Non-Synchronous Tick-by-Tick Data,
  • GPGPU Workshop, Research & Advisory Deutsche Börse Systems AG, Frankfurt, Germany, 25th March 2010

• Nonlinear Market Microstructure Noise Models, Particle Filter-based On-line Estimation of Spot Cross-Volatility, and State-Space Models for Non-Synchronous Tick-by-Tick Data,
  • NTH Workshop on Finance and Insurance Mathematics, Braunschweig, Germany, 8th March 2010

• Nonlinear Market Microstructure Noise Models, Particle Filter-based On-line Estimation of Spot Cross-Volatility, and State-Space Models for Non-Synchronous Tick-by-Tick Data,
  • 9th German Open Conference on Probability and Statistics, Leipzig, Germany, 2nd March 2010, pdf

• Online Estimation of Time-Varying Volatility and Co-Volatility for Tick-by-Tick Data: A Bayesian Approach,
  • 3rd International Conference on Computational and Financial Econometrics (CFE'09), Limassol, Cyprus, 30th October 2009

• Nonlinear Market Microstructure Noise Models, Particle Filter-based On-line Estimation of Spot Cross-Volatility, and State-Space Models for Non-Synchronous Tick-by-Tick Data,
  • Annual Colloquium HGS MathComp, Heidelberg, Germany, 10th October 2009

• Online Estimation of Time-Varying Volatility and Co-Volatility for Tick-by-Tick Data: A Bayesian Approach,
  • NBER-NSF Time Series Conference, Davis, USA, 11th September 2009

• Nonparametric Partial Importance Sampling for Financial Derivative Pricing,
  • Commerzbank, Frankfurt, Germany, 25th May 2009, pdf

• Nonparametric Partial Importance Sampling for Financial Derivative Pricing,
  • Humboldt-Copenhagen Conference, Berlin, Germany, 20th March 2009

• Sequential Monte Carlo Methods with Applications,
  • Workshop on Monte Carlo Methods, Heidelberg, Germany, 22th January 2009, pdf

• Phase Estimation for Noisy Oscillators,
  • International Workshop in Recent Advances in Time Series Analysis, Protaras, Cyprus, 10th June 2008

Thesis

• Neddermeyer, J. C. (2010), Importance Sampling-Based Monte Carlo Methods with Applications to Quantitative Finance,
  • Dissertation (PhD thesis), dissertation (.pdf),

• Neddermeyer, J. C. (2007), Statistische Arbitrage,
  • Diplomarbeit (Master thesis), in German.

• Neddermeyer, J. C. (2007), Sequential Monte Carlo Methods for General State-Space Models,
  • Diplomarbeit (Master thesis), thesis (.pdf), slides (.pdf), src code (.zip)

Statistical Software

• Bayesian Filtering Toolbox
• LBFP estimator:
  • C++ code (.zip)
  • R package lbfp: Windows binary (.zip), Package source (.tar.gz)

Teaching

• Übungsbetrieb: Einführung in die Statistik SS 2007 (Prof. Dr. Dahlhaus)

CV (academic)

• Fellow of the Heidelberg Graduate School of Mathematical and Computational Methods for the Sciences (05/2008-08/2010)
• University of Heidelberg, PhD student in statistics (09/2007-08/2010)
• University of Bristol, Visiting student (09/2005-06/2006)
• University of Heidelberg:
  • Mathematics with Scientific Computing, Diplom (equivalent to Master) (10/2002-01/2007)
  • Economics, Diplom (equivalent to Master) (10/2003 - 09/2007)
• Allgemeine Hochschulreife (Abitur), Darmstadt (05/2002)