ARMA-GARCH

• UpdatedOct 15, 2023
• Python

I perform time series analysis of data from scratch. I also implement The Autoregressive (AR) Model, The Moving Average (MA) Model, The Autoregressive Moving Average (ARMA) Model, The Autoregressive Integrated Moving Average (ARIMA) Model, The ARCH Model, The GARCH model, Auto ARIMA, forecasting and exploring a business case.

• UpdatedApr 8, 2020
• Jupyter Notebook

Python code for pricing European and American options with examples for individual stock, index, and FX options denominated in USD and Euro. Jupyter notebooks for pricing options using free publicly available datasets.

• UpdatedApr 9, 2025
• Jupyter Notebook

Undergraduate thesis, Seoul National University Dept. of Economics — "Modeling Volatility and Risk Spillover Between the Financial Markets of US and China Using GARCH Value-at-Risk Forecasting and Granger Causality."

• UpdatedJan 15, 2025
• HTML

Option pricing and Delta hedging performance comparison between Black and Scholes vs Artificial Neural Network

• UpdatedNov 25, 2020
• Python

Explore TESLA stock price (time-series) using ARIMA & GARCH model.

• UpdatedOct 20, 2021
• Python

Custom Neuron Decision-Making and Visual Workflow Orchestration Quantitative

• UpdatedApr 10, 2025
• Rust

A dashboard for helping beginners identify trading opportunities through technical analysis, fundamental analysis, and possible future projections.

• UpdatedSep 1, 2021
• Python

Model and replications scripts for the 2020 IMF Working Paper "Foreign Exchange Interventions Rules for Central Banks: A Risk-Based Framework"

• UpdatedApr 20, 2023
• Jupyter Notebook

Python-written project that utilizes Time Series analysis, along with a Linear Regression model, to forecast the price of the Japanese Yen vs. the US Dollar. ARMA, ARIMA, and GARCH forecasting models included, as well as decomposition using the Hodrick-Prescott filter. In-Sample and Out-of-Sample performance metrics used to evaluate Linear Regre…

• UpdatedJan 22, 2021
• Jupyter Notebook

Calculation of Value at Risk using Generalized normal distribution, EGARCH and GARCH + EVT

• UpdatedNov 1, 2021
• Jupyter Notebook

Code for value-at-risk calculation and backtesting.

• UpdatedDec 5, 2021
• Jupyter Notebook

A template for building an advanced Automated High-Frequency Trading (HFT) system. Note: For educational purposes only; customize before deploying in live markets.

• UpdatedAug 5, 2024
• Jupyter Notebook

For this project, I used Bitcoin's daily closing market price dataset from Jan 2012 to March 2021 Kaggle. This work's main objective includes explaining how to analyze a time series and forecast its values using ARIMA and GARCH models.

• UpdatedJan 1, 2023
• Jupyter Notebook

Contains financial studies work, including capital markets, corporate finance and other topics.

• UpdatedAug 1, 2021
• MATLAB

Identified the most appropriate Time-Series method to forecast drought in African countries, acting as a critical early warning for drought managements

• UpdatedMar 26, 2020
• R

Implementation of ARCH and GARCH models with MLOps pipeline on the AWS for deployment and management in a production environment.

• UpdatedJan 27, 2025
• Jupyter Notebook

Developed a forecasting model Hybrid GARCH-ANN By employing Grid Search for NYSE Stock

• UpdatedSep 12, 2023
• Python

Data for Finance

• UpdatedDec 13, 2024
• Jupyter Notebook

This project uses the many time-series tools (Hodrick-Prescott Filter, ARMA, ARIMA and GARCH models, linear regression, etc.) to predict future movements in the value of the Japanese yen versus the U.S. dollar.

• UpdatedMay 10, 2021
• Jupyter Notebook