hychangtamu / projects

These are all the projects I have done to verify my understanding of financial concepts and to demonstrate the ability of data analysis using computer.

Projects - Systematic Trading Strategies

This is a repository for the projects I have done in Systematic Trading Strategies (FINC637). The codes are written in Python with commonly used packages for data analysis, including pandas, numpy, statsmodels.api, scipy, sklearn, and matplotlib. The data comes from Yahoo Finance, Kenneth R. French Data Library, and CRSP dataset. Since some of the datasets are not open to public, those will be saved and accessed from a private drive. Project 1, 2, and 5 are individual projects, which involves no collaboration. Project 3 and 4 are team projects, but the codes are written myself.

Project 1

1. Calculating monthly and annual return and standard deviation of selected stocks
2. plotting the distribution of the returns

Project 2

1. Examining commonly used metric using stocks selected in project 1
2. Running simulation on a simple game to demonstrate risk difference

Project 3

1. Obtaining risk premiums of portfolios using CAPM, 3-factor, 5-factor, and 6-factor (5-factor and momentum factor) by Fama-Macbeth 2-stage regression
2. Applying in-sample rolling window method to obtain risk premiums of portfolios in different time window
3. Applying out-of-sample rolling window method on one-month ahead excess return

Project 4

1. Applying rolling window method to obtain alpha and beta of stocks associated with various risk factors
2. Forming beta-sorted portfolios and momentum portfolio in three different weighting scheme
3. Plotting realized average return vs. standard deviation

Project 5

1. Applying ZCAPM to estimate beta and zeta of each rolling time window
2. Forming beta and zeta sorted portfolios using two different weighting scheme and rebalance every month\
3. Plotting realized average return vs. standard deviation