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Matthew Smith

Researcher in Dept Finance

IESE Business School

Biography

My research focuses on machine learning applications applied to economics but in my spare time I generally enjoy playing around with different R packages and finding applications to finance and economics. I set up this blog as a way to highlight my research results, organise my code and publish it along with comments.

Nothing in life is to be feared, it is only to be understood. Now is the time to understand more, so that we may fear less. - Marie Skłodowska Curie

Interests

  • Machine Learning
  • Financial Markets
  • Asset Pricing

Education

  • PhD in Economics, 2017 - Present

    Universidad Complutense Madrid

  • MSc in Economics, 2013 - 2016

    Universitat de Barcelona

Recent Posts

Decision Boundary for a Series of Machine Learning Models

I train a series of Machine Learning models using the iris dataset, construct synthetic data from the extreme points within the data …
Feb 28, 2020 16 min read Machine Learning, Decision Boundary, Misc

Machine Learning (XGBoost) Time-Series Classification Trading Strategy

I construct a series of time-series features from the literature and apply a novel XGBoost model to predict the next days price of a …
Feb 2, 2020 14 min read Quantitative Finance, Machine Learning, Time Series, Algo Trading

Quantitative Analytics: Optimal Portfolio Allocation

I cover a number of portfolio optimisation models using R from the literature, the portfolio allocation models might be extended to the …
Dec 31, 2019 17 min read Portfolio Optimisation, Econometrics

Quantitative Trading Strategies using quantmod

A simple backtested Bollinger-Band strategy and Directional Movement Index (ADX) strategy.
Dec 29, 2019 11 min read trading, technical trading, algorithmic trading, systematic trading

Factor Modeling in R

I break down some popular and fundamental models from quantitative finance & engineering, construct some factor analysis on a …
Nov 14, 2019 35 min read Mathematical Finance, Econometrics
See all posts

Popular Topics

algo trading asset pricing AWS backtesting corporate finance Deep Learning Demo dupont factor models finance financial markets fundamental analysis machine learning quant finance quantstrat RStudio technical analysis time-series xgboost yahoo-finance

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