Quantitative Projects
List of quantitative projects with Python & Julia.
Backtesting & Analysis of Risk-Adjusted Momentum with Julia
Perform a backtest on the Risk-Adjusted Momentum factor.
Market Expectations Investing
TBD
Backtesting & Analysis of Price/High Price
Perform a backtest on the Price / 12-Month High Price factor.
U.S. Equities Earnings Yield
Exploring and estimating US equities earnings yield with macro Factors
U.S. Recession Probability (Yield Curve)
Predicting the probability of recessions from the US Treasury Spreads via a Probit model.
U.S. Sector Sensitivity to Inflation Expectations
Exploring U.S. equity sectors sensitivity to breakeven inflation and real interest rates.
NOPAT, ROIC, & ROIIC
Calculating and visualizing Net Operating Profit After Tax, Return on Invested Capital, and Return on Incremental Invested Capital.
Estimating Credit Quality of Companies
Using machine learning techniques to establish creditworthiness of a public company.
TBD