Hello!
This project is looking into stock market prediction based on quantitative finance analysis. I'm looking into statistics, econometrics and machine learning model, though open to other suggestions too.
The focus of the project is NOT to gett the most accurate prices. But to get the best risk analysis (Value at risk, expected shortfall, etc) as a basis to build hedging strategies. The objective is to get a risk model that can be relied upon on all time and as small as possible. i.e., consistent, efficient and robust.
All files in the main folder are being worked on Old codes are available in the old codes folder. Kept for future references.
Shoot me a message at akbarrizqiansyah@yahoo.com