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Quantamental Research

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

You have been given the daily returns of several strategies / funds over the past year, how would you determine which one provides the best investment opportunity given only this information?

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…

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).

This is the portfolio the so called “rational investor” would choose as clearly no…

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

A company’s performance relative to its peers will be ultimately driven by management’s strategic decision making ability to drive growth and position the organisation for changing market conditions.

Quantamental Research

The UCD Investors & Entreprenuers Finance Research Publication

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