asset pricing

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 Black-Litterman model etc.

Factor Modeling in R

I break down some popular and fundamental models from quantitative finance & engineering, construct some factor analysis on a series of Assets and EFTs along with a randomly generated portfolio constructed from scraping tickers from the SPY500 wikipedia page.

Time Series Classification Synthetic vs Real Financial Time Series

I analyse the difference between two time series and obtain a 67% accuracy (on anonymous data)

Fundamental Financial Ratios in R

An analysis of company financial statements: Book-Value-Equity, EBITDA, Enterprise Value, Market-Book, DuPont anaysis.