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On-going project: I will be implementing a combination of pairs trading strategies in attempt to see which type performs best after backtesting. The main ideas involve cointegration, kalman filter,…
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Advanced-Simulation-Methods Public
This project focuses on applying advanced simulation methods for derivatives pricing. It includes Monte-Carlo, Variance Reduction Techniques, Distribution Sampling Methods, Euler Schemes, and Milst…
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Implied volatility is a key aspect when it comes to derivatives pricing. With the growing influence of machine learning in finance, I have investigated the use of LSTMs to forecast 1-day forward Im…
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Portfolio-Optimization Public
In Progress: We will investigate the common portfolio optimization methods and explore new ways to improve on this. We will start by building Minimum-Varance Portfolios, Maximum Sharpe Ratio portfo…
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Loan-Default-Prediction Public
University Project: building a random forest to predict loan defaults. This involves data processing, standardization, optimization, performance metrics, and model analysis.
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Multi-Factor-Portfolios Public
University Project: constructing portfolios by blending different types of factor portfolios (low-beta, value, and momentum). We investigate different techniques to weight our portfolio and calcula…
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MA-Crossover-Strategy Public
University Project: Building a simple moving average crossover trading strategy.
R UpdatedNov 23, 2022 -
MATLAB-Time-Series Public
University Project: Implementing DCC, a multivariate conditional volatility model.
MATLAB UpdatedAug 19, 2022 -
R-Derivatives-Pricing Public
University Project: simulation techniques to price derivatives. It will involve Monte-Carlo, variance-reduction techniques, and advanced simulation methods.
von-neumann monte-carlo variance-reduction derivatives-pricing stratified-sampling control-variates antithetic-variatesUpdatedAug 19, 2022 -
University Project: using linear regression models to predict secondary market car prices based on a series of features. We will apply variable selection techniques and optimisation in attempt to b…
machine-learning regularization regression-models optimisation bayesian-information-criterion akaike-information-criterion adjusted-r-squaredUpdatedAug 19, 2022
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