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8k_study

Scrape for 8k filings and check for trends in abnormal returns around filing dates.

american_option_valuation

Valuation of American options using binomial trees, and numerical approximation of the exercise boundaries for various underlying.

black_litterman

Outputs an excel spreadsheet that recommends an optimized portfolio from the market weights and managerial views using the Black-Litterman model.

computer_config

Computer configuration

distance_to_default

Solves for the naive, direct and iterative (KMV) distance to default and probability of default for firms from 1970 to 2015.

hazard_modeling

Adapted firm financial data to create a series of models used to predict firm bankruptcy.

hedging_error

Uses stock price and interest rate data to determine the hedging error and P&L of a specified position.

inheritance_hierarchy

An old Bank of America coding test. An inheritance hierarchy with multiple functions, a class that holds and sums pointers to function classes, and function difference templates.

loan_default_modeling

Utilized Lending Club loan data from 2007 to 2016 to create a predictive model of loan default.

multifactor_trading

A multifactor trading strategy, work in progress for current build.

qcfoptions

Option Calculator and Simulator, available on PyPI

return_modeling

Model return data from January 2000 to November 2017 using a Yahoo API.

risk_management

Looks at risk metrics (VaR, $VaR, Expected Shortfall) and risk models (RiskMetrics and GARCH) for 100 firms for two time periods: 2005 to 2010, and 2000 to 2010.

shortest_path_optimization

Robust optimization model to minimize the worst-case scenario travelled across a series of nodes, with respective costs. Variable edge congestion to change the optimal path.

simple_portfolio_optimization

A simple portfolio optimization using the Gurobi optimization package in Python.

sudokusolvers