MCF Long Short
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- Volatility trading using Long and Short Straddle options strategies on Interactive Broker using Yahoo Finance and TWS API
machine-learning
PublicData analysis of various financial datasets and applying numerous ML models with strong emphasis on feature engineering and model evaluation and selection.- Practical, hands-on risk modeling, risk assessment and verifications of risk models across major risk classes and understanding risk regulation as well. Implementing risk models in Python, R and Excel.
stocks-momentum-strategy
Public- Option pricing: Simple app for vanilla option pricing using Black-Scholes model and Merton model via Fourier Transform. Spot prices for the underlying are fetched from Yahoo Finance API.
fixed-income-and-credit
PublicQuantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predictability and fixed income derivatives.- Empirical analysis with financial data (MSFT stock returns) in R, with the goal to produce useful forecasts using univariate, multivariate time series models and volatility models.