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ysc4228-quantfin's Introduction

Data Science in Quantitative Finance

Coursework for YSC4228 Data Science in Quantitative Finance. Repository is organized by assignments, with code done by Zhao Yuan and Walter

Assignment 1 - Kernel Regression

For this assignment, we are to implement Linear Regression using a Gaussian Kernel. The detailed implementation can be found in the kernel_regression directory.

Assignment 2 - Scraping Market Data

For this assignment, we are to implement scraping market data. This was done using the yfinance module.

Assignment 3 - Backtesting a Single Strategy

As an extension to assignment 2, we used our fetched data from the yfinance module to backtest either reversal or momentum strategy.

Assignment 4 - Backtesting Multiple-Signal Strategy

As an extension to assignment 3, we instead did backtesting for multiple-signal strategies. We employed 2 strategies in parallel, created a linear regression model using sklearn and chose stocks based on the scores given from the regression model.

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