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fenicola/README.md

Typing SVG

📈 majoring in Financial Markets


I work mostly on empirical asset pricing and portfolio construction: factor models, separating skill from luck in returns, dimensionality reduction on asset universes, and credit risk. Every project below starts from a question, uses public data, and keeps a strict in-sample / out-of-sample split.

Featured projects

Project Question Methods
ARK Invest: Skill or Luck? Did Cathie Wood's ETFs generate alpha, or just ride factor exposure? Carhart 4-factor OLS, rolling regressions, bootstrap luck distribution
Meme-Stock Bubbles Were GME, AMC, BB and NOK statistically in a bubble, and when? PSY (2015) BSADF/GSADF test, Monte Carlo critical values, date stamping
Crypto Eigen-Portfolios What economic forces drive the top 50 cryptocurrencies? PCA, Marchenko–Pastur denoising, K-Means, attribution to BTC/VIX/gold/geopolitical risk
S&P 500 Long-Short Can latent factor clusters drive a long-short strategy? PCA + K-Means on factor loadings, out-of-sample backtest 2023–2025
Credit Risk with Neural Networks Which model maximises a bank's expected income on imbalanced default data? Neural networks in R, stepwise selection, cut-off optimisation on business metrics
Return Analysis: NVIDIA How do NVDA's risk and market beta evolve over time? CAPM, rolling beta, VaR, interactive Streamlit dashboard

Some findings

  • None of the five ARK ETFs shows alpha beyond what luck explains once factor exposures are controlled for; about 80% of their monthly returns are explained by four factors.
  • GameStop's 2021 episode is a clear bubble (GSADF 3.79 vs a 1.32 critical value); Nokia shows no explosive dynamics at all.

Other work

Tools

Python (pandas, statsmodels, scikit-learn, PyPortfolioOpt, quantstats, Streamlit) · R · MATLAB · SQL (SQLite) · Excel · LaTeX

Pinned Loading

  1. Ark-Invest-skill-or-luck Ark-Invest-skill-or-luck Public

    Factor model analysis of ARK Invest ETFs to assess manager skill vs systematic risk exposure

    Jupyter Notebook 4

  2. meme-stocks-speculative-bubbles meme-stocks-speculative-bubbles Public

    PSY (2015) bubble detection on GME, AMC, BB and NOK meme stocks. Includes BSADF/GSADF sequences, Monte Carlo critical values, date stamping, and equal-weight vs inverse-volatility portfolio compari…

    Jupyter Notebook 4

  3. crypto-eigenportfolio-pca crypto-eigenportfolio-pca Public

    PCA-based eigen-portfolio construction on 50 top cryptocurrencies. Includes Marchenko-Pastur denoising, K-Means clustering, efficient frontier, and economic attribution via BTC, VIX, gold, and geop…

    Jupyter Notebook 4

  4. sp500-pca-kmeans-longshort sp500-pca-kmeans-longshort Public

    PCA and K-Means clustering on S&P 500 stocks to build a factor-based long-short strategy. Evaluated out-of-sample against the S&P 500 benchmark (2023–2025)

    Jupyter Notebook 5

  5. Neural-Network Neural-Network Public

    Neural network models for corporate default prediction with business-oriented evaluation metrics

    R 5

  6. Return-Analysis Return-Analysis Public

    A collection of quantitative equity analyses built in Python — one stock at a time. Each analysis combines a Jupyter notebook for research and a Streamlit dashboard for interactive visualization.

    Jupyter Notebook 3