Coursework for YSC4228 Data Science in Quantitative Finance. Repository is organized by assignments, with code done by Zhao Yuan and Walter
For this assignment, we are to implement Linear Regression using a Gaussian Kernel. The detailed implementation can be found in the kernel_regression
directory.
For this assignment, we are to implement scraping market data. This was done using the yfinance
module.
As an extension to assignment 2, we used our fetched data from the yfinance
module to backtest either reversal or momentum 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.