University of Lodz
Lukasz Gatarek holds an MSc in Econometrics from Warsaw School of Economics, MSc in Statistics from Johannes Gutenberg University of Mainz and MPhil in Economics from Tinbergen Institute. He helds PhD in econometrics from the University of Rotterdam. Lukasz Gatarek has worked at various financial and economic institutions. He has started his career as a quantitative analyst at the European Central Bank. Then, after succesfully completing his PhD, he has moved to algorithmic trading and finally to the management consulting where he manages a team of quantitiative analysts distributed over various geographies. During his consultancy career he has advised many of the 500 Forbes companies in data management and analysis. His academic career concerns the application of advanced computational methods in the analysis of financial markets.
In this paper, a novel simulation-based methodology is proposed to test the validity of a set of marginal time series models.