Giuseppe Cangemi's repositories
Combinata_Fisb
Questo algoritmo permette il calcolo automatico della Combinata delle gare degli sbandieratori una volta ricevuti come input i risultati. L'utente finale visualizzerà su una pagina web ngrok la tabella con i risultati e il calcolo della combinata ancor prima della sua pubblicazione ufficiale alla fine delle gare.
RiskAnalysis_UniCredit
In this project I estimated the Value at Risk (VaR) and ExpectedShortfall (cVaR) of the UniCredit stock. The one I propose is, at least in the "VaR_classical_methods.py" script, the simplest classical method widely used. Instead, in the Brownian motion script, I estimated the VaR through the Montecarlo Simulation Method. Also, I did Backtesting.
PortfolioOptimization
In this repository I estimate the variances, covariances and correlations of the daily and monthly return rates of three stocks (UniCredit, BPM, Intesa SanPaolo) listed on the Italian FTSEMIB index. Furthermore, I estimate the expected return of the equity portfolio. Finally, I present the efficient frontier graphically.
ZipFileExtraction
Tramite questo script è possibile automatizzare l'estrazione di specifici file all'interno della cartella zip!! Nel caso in oggetto sono presenti, all'interno della cartella zip, folders e sub-folders. Una volta lavorato su questo aspetto creo una cartella che raccoglie i file di fatturazione elettronica il cui nome_file inizia per un numero (fattispecie non univoca). Creo una directory in locale ed estraggo solo i file da analizzare (fatture elettroniche).
Case_Study-Regression-Discontinuity-Design_STATA
In 1947, the compulsory school-leaving age in England, Scotland and Wales was raised from 14 to 15 years old. Within two years after policy implementation, the proportion of individuals who left full-time education by age 14 fell to less than 10 percent. I investigate whether this government policy has had any effect on the monetary rate of return. In order to get useful information I developed different models. First, I develop the ordinary least squares method (OLS), then the instrumental variable and finally I will develop a regression discontinuity design.
quantfinance
Our project aims to analyze and obtain an options investment strategy, having the Oil Futures (WTI Crude Oil) as underlying. The analysis is based on a Monte Carlo simulation that takes the historical data of the underlying from Yahoo Finance; it calculates its historical volatility and indicates its latest price (May 9, 2020). On the basis of the prices, the risk free rate and the maturity taken as reference (17 June 2020), it carries out “i” simulations, for a predetermined number of steps, estimating the average price at maturity. After running the Monte Carlo simulation, through the Black-Scholes-Merton model, we calculate the price of the options with the data of May 9, 2020. We also present an alternative calculation through the Black model (which are almost equal). Once the prices of the options have been calculated, we have evaluated which strategy to implement based on the options available on the market. We therefore opted for a Put Spread Ratio strategy which consists of buying a Put with a strike price of 30 and shorting 2 Put with a strike price of 25. Then we have the profit positions of the individual options, reaching the graphic screen of the strategy and indicating the maximum payoffs and minimums. Finally, we concluded with the calculation of the Greek and the respective plots. We also present part of the project using an open source library, QuantLib.