Quantitative Financial Analytics

Welcome to my Quantitative Financial Analytics Repository!
This repository houses advanced quantitative finance projects developed in STAT 682 at Rice University, showcasing applications of financial theory, data analysis, and machine learning to real-world problems.

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Repo Structure

1. S&P 500 Financial Analysis

   • Description: Analysis of the S&P 500 and its top constituents to explore relationships between financial metrics and market behaviors.
   • Key Features:
     • Distribution analysis of prices, volumes, and returns.
     • Volatility trends over multiple rolling windows.
     • Risk/reward scatter plots for top S&P 500 constituents.
     • Backtesting simple moving average crossover strategies.
   • Directory: sp500-analysis-strategy-backtes

2. Modern Portfolio Theory & CAPM

   • Description: Application of CAPM, Fama-French 3-Factor models, and Modern Portfolio Theory (MPT) to optimize portfolios and evaluate risk-adjusted returns.
   • Key Features:
     • Traditional and advanced regression techniques (lasso, ridge, elastic net).
     • Efficient frontier calculation and tangent portfolio identification.
     • Rolling beta analysis and assessment of regression assumptions.
   • Directory: mpt-capm-sp500

3. Systematic FX Trading Using PPP and Trend Analysis

   • Description: Development of systematic trading strategies for G10 currencies using value-based (PPP) and trend-based indicators.
   • Key Features:
     • PPP-based signals and advanced volatility-controlled strategies.
     • Trend-Value Indicator (TVI) incorporating momentum, persistence, and price positioning.
     • Logistic regression for ranking buy/sell signals.
     • New composite metric (NEO-XXXUSD) integrating PPP, real interest rates, and current account balances.
   • Directory: fx-value-trading

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Contributors

• Jackson Thetford
• Judy Fang
• Ryker Dolese
• Sirui Hao
• Martin Hecht
• Krish Kumar