finance

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.

Quantitative Trading Strategies using quantmod

A simple backtested Bollinger-Band strategy and Directional Movement Index (ADX) strategy.

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.

Learning the Quantstrat and Blotter packages

I generate a rolling logistic backtesting function which outputs predicted probabilities, based on these probabilities I construct investment criteria and test whether positive returns can be made (lots of work still to do)

Need for Funds (NFO) and Working Capital (WC) Calculations

I use managerial finance and corporate finance methods to scape and analyse fundamental data from yhaoo and analyse companies DuPont, NFO and WC

Scraping Yahoo Finance IPO Data

I compute the money left on the table for companies listed on the yahoo finance IPO calendar.

Tracking NVDA's share price

Nvidia's stock was outperforming it's industry peers during 2017 - 2019. I analyse their performance.