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Quantamental Research

Applications of Time Series Analysis (ARMA-GARCH) To Improve Risk-Adjusted Return Screening Procedures.

A naive approach might be to select the strategy with the best-annualized return, however, this ignores the level of potential risk that may materialize in future returns. For instance, suppose that the returns on Strategy A are better than that of Strategy B, but strategy A has a higher variance in daily returns (volatility). …

How inaccurate LCOE estimates could be causing the overvaluation of traditional energy generation assets like coal, natural gas, nuclear and hydro plants

Photo by Thomas Millot on Unsplash

Renewable energy technologies clearly have a low impact on the environment as no greenhouse gases are emitted during the electricity production process but, they have only recently become cost-competitive with legacy generation methods like nuclear, coal or gas. That is, if you were to go by the numbers released in reports by Lazard, the United States Energy Information Administration (U.S. EIA), or the International Energy Agency (IEA).

Tony Seba, the co-founder of the independent think-thank RethinkX, believes that we reached cost-competitiveness much earlier than shown by these reports and that they are massively underestimating the cost of conventional forms of…

Applications of Monte Carlo Methods

Photo by Gary Saldana on Unsplash

The Rational Investor Allocation

Markowitz Portfolio Optimisation seeks to find a set of weights for N assets in a portfolio such that the risk adjusted return of the portfolio is maximised (aka the Sharpe Ratio).

Let us introduce this with a little bit of mathematics to accompany this. Capital “Sigma” is the covariance matrix of asset returns, with entries measuring the strength with which one assets returns tend to move…

Applications of Change-point Detection, Cox Regression, and Bayesian Hierarchical Models

Whilst investors ultimately care about picking stocks with management teams that can generate returns for shareholders, it is also important to be able to correctly time these investments or trades. An extreme example would be to short a stock that where goes bankrupt, but in the near term skyrockets, forcing you to close at a loss.

Quantamental Research

The UCD Investors & Entreprenuers Finance Research Publication

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