Showing posts from 2013

Event Study of major G7 stock indices with the release of US unemploment reports.

Performed Event Study of major G7 stock indices with the release of US unemployment reports. Period of analysis : Jan 2000 - October 2013 ( except for ITLMS whose data was available from 2003 onwards)

I looked at two separate cases in this event study :

a) When the actual value of the unemployment rate was greater than the survey mean value.

b) When the actual value of unemployment rate was lesser than or equal to the survey mean value


When the unemployment rate was lesser or equal to the survey mean (plot b), we start seeing a positive slope for almost all the G7 indices around Day --6 or -5.
(Nikkei has a day lag from other indices due to the market timings.) The other European markets have some overlap with US markets and there is possibility of some double causality (minimal) that has not been analysed as a part of this study. There were about

When the unemployment rate was greater than survey mean (bad news), we start seeing a decline in all indices around Day 2 o…

Currency Heat Map

Heat Map of the G10 currencies returns(FX wrt USD)

Period of study : Jan 2007 till Dec 31 2008

Pink Diagonal represents perfect correlation of the currency with itself.

Deep blue shades : Negative correlation

   EUR          JPY           CHF         GBP          CAD          AUD         NZD          NOK         SEK
EUR  1.00000000  0.232250036 -0.0182779681  0.22449062  0.458694711  0.567454005 0.431979342 0.2642251550  0.68334286
JPY  0.23225004  1.000000000  0.0024913017  0.05916178 -0.007556009  0.012980464 0.033255786 0.0227664759  0.11623450
CHF -0.01827797  0.002491302  1.0000000000 -0.00402642 -0.037831212 -0.004113161 0.001627921 0.0006448854 -0.01295485
GBP  0.22449062  0.059161785 -0.0040264196  1.00000000  0.148245636  0.190834936 0.149657294 0.0747953165  0.18267706
CAD  0.45869471 -0.007556009 -0.0378312120  0.14824564  1.000000000  0.609374854 0.450332224 0.1699603114  0.44063655
AUD  0.56745401  0.012980464 -0.0041131614  0.19083494  0.609374854  1.000000000 0.689882355 0.20…

Event Analysis of FOREX based on US Unemployment release dates

Performed Event Study of the G10 currencies in response to release of unemployment data in US. In this study, I am defining the events merely by the date of release and not looking at what the Actual & Survey values are ( Part 2 : to be followed after this).
The period of observation for this event study is from Jan 1 2007 till October 30 2013. The event window is +-10 days from the day of event (21 days). The line graphs are FX rates of each currency vs USD and in each graph we are looking at the mean, Upper Confidence Level and Lower Confidence Level ( conf interval of 95%) of cumulative returns for each of the respective days in the event window. ( Bootstrap inference for the Event Study)

Break-up of NYC restaurants with multiple food safety violations

Continuation of my previous analysis where I searched for top 5 zip codes with maximum violations broken into  top 5 cuisines contributing to violations , and further narrowed down  to 5 restaurant names within each of those cuisine types.

Computational Investing with Dr Tucker Balch

Just completed a 8 week track to build computational models for back testing trading strategies, event profiling, portfolio optimization, and simulation of trading strategies to analyze portfolio performance and risks. It was a great course and Dr Tucker Balch is awesome at mixing the theoretical and practical aspects of the subject matter.
The course introduced me to some new concepts and how to implement them and from here the fun starts as I look for other use cases and investment strategies where I can apply the knowledge from this course.

I look forward to Module 2 on Computational Investing which will be focused primarily on how to implement Machine Learning in Algorithmic Trading. Here are some of the useful links if you want to follow more on this subject and the instructor.…

Bollinger Bands event profiling continuation

A series of plots for different events based on Bollinger Band values. For this analysis, I am using all the stocks that were listed in S&P500 in the year 2012. The period of event study is Jan 1 2008 to Dec 31 2009. I am looking at 4 extreme events for individual stocks whereby the bollinger value of the stock fell below 2 Standard deviations whereas the overall market (SPX / SPY) Bollinger Value went above certain levels.

The basic reason for this back testing event analysis is to graphically visualize the Market relative return and hypothesize a trading strategy based on the behaviour.

 Event Study 1 :

 f_bollinger_symbol_yest >= -2 and f_bollinger_symbol_today < -2 and mkt_bollinger_market_today >= 0.5

Event Study 2:

f_bollinger_symbol_yest >= -2 and f_bollinger_symbol_today < -2 and mkt_bollinger_market_today >= 1.0

Event Study 3:

f_bollinger_symbol_yest >= -2 and f_bollinger_symbol_today < -2 and mkt_bollinger_market_today >= 1.5

Event Study 4:


Event Profiling based on Bollinger Bands

So my experiments with event profiling continue. This time, I look for event based on Bollinger Values.

Classified the event as the day when the standardized Bollinger value of a stock (Stock Price - 20 day running mean)/(SD of 20 day running price) fell below -2 ( 2 Standard Deviations) and the market (SPY) Bollinger Value at the day's close was > 1 ( 1 SD above the mean)

Observations :
From the time of event  till day 12, we see a market relative mean of 2.25% .

Over the next few weeks I will be experimenting with other event classifications based on technical indicators to see if we can beat the market.

Dirty Food in NYC !

Courtesy NYC Open data project, I was able to get the food safety violation data for restaurants/fast-food joints in NYC.
I filtered the data starting July 1 2012 onward and narrowed down on 10 zip codes that top the list in food safety violations and within those zip codes, I narrowed down on top 20 cuisines with violations.

Soon to follow : Geo-mapped image of  top 20 restaurants with violation code and date of violation.

Event profiling and analysis of S&P 500 stocks

Event profiling analysis of all S&P 500 stocks between Jan 1 2008 to Dec 31, 2009. 

A classified event is anytime when the closing stock price for a particular stock falls below $5. 

On the horizontal axis is backward looking and forward looking # of days from the event. Individual Stock returns comparison is against SPY.  

Vertical bars represent the standard deviation of returns for those days.


1.  1. For the same period in both graphs, we see 326 events in 2008 S&P500 stocks vs 176 events in 2012 S&P stocks.

2. The fall in stock price at the time of event is much steeper in 2008. Periods of higher volatility.

3. Slightly higher cumulative return for the lower graph with 2012 S&P 500 stocks.

4. If you went long at the occurrence of event , you would get a return of approx 5% in 20 days. (2012 S&P 500 stocks)