/BISF-Project

Business Intelligence for Financial services Course Project @ Unimib 2021/2022

Primary LanguageJupyter Notebook

BISF Project

Statistical and predictive analysis on financial data based on the material of th Business Intelligence for Financial Services @ Unimib 2021/22.

Choosen stocks:

  • Energy Sector
    • XOM (Exxon Mobil Corporation)
    • WMB (Williams Cos Inc)
  • Technology Sector
    • AAPL (Apple)
    • TSLA (Tesla)
  • Financial Sector
    • JPM (JPMorgan Chase & Co.)
    • BLK (BlackRock, Inc.)

Scheme of the Analysis:

  • Summary of the used data
  • Descriptive Statistics
    • Simple and composite returns
    • Returns distribution
    • Q-Q plot of returns
    • Univariate Statistics (mean, variance, skewness and kutrosis)
    • Covariance Matrix
    • Correlation matrix
    • Correlation throught time
  • Predictive Analysis
    • Feature engineering
    • splitting data in train set and test set
    • Model training
    • Results
  • Trading Strategy and backtesting
    • Trading strategy anatomy
    • Backtesting
    • Backtesing with a money management rules
  • CAPM
    • Beta of stocks
    • Fama-French Factors
  • Portfolio Optimization
    • Efficient Frontier
    • Minium Variance Portfolio
    • Maxium Sharpe Ratio Portfolio
    • Montecarlo simulation
    • Optimal portfolio vs Effective Portfolio

You can find the notebook also on google colab.

Author

Paolo D'Elia