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2 month break, timelapse stock trading simulator

Just started a summer internship, will be taking a break from posting on IEMH until late Aug/early Sept. In the meantime, check out the timelapse stock trading simulator I had been working on in the last month: predictd.com ...
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/ Projects, Quant Research

Socially generated financial data the next big thing?

A ton of articles/papers released recently on this topic:
/ Quant Research

The first of month effect exists?

Many have noticed a predictable “first of month” effect in equities; the hypothesis is that the beginning of the month is when funds buy the shares of last month’s top companies, thus pushing up prices. Black is SPY, red is DIA, and green is QQQQ (now apparently just QQQ?). I use those three ETFs to represent the stocks in ...
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/ Quant Research

larger earnings surprises associated with higher returns

Surprisingly I find myself working on my PEAD research more during finals week… Below is the component residual plot for the current model: stock's return in the next 30 days ~ last 30 days price change + last 30 days historical volatility + earnings surprise > There’s an apparent association b/w larger earnings surprises and higher returns. Looks like ...
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/ Quant Research

400 lines of code and 1.6 million data points later

And the data is finally in “response variable, explanatory variable 1, explanatory variable 2,… explanatory variable n” format. My code (Java) is very unreadable, but it gets the job done. There were only about 18000 earnings surprise data points. But my other explanatory variables right now, momentum and volatility, require historical price data and so I had to process ...
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/ Quant Research