Looking for a Finance Expert to do DATA ANALYSIS using Python -- 3
$15-40 NZD
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Veröffentlicht vor mehr als 2 Jahren
$15-40 NZD
Bezahlt bei Lieferung
I have a project that needs a Finance Expert to do analysis of a large set of data and the workings needs to be done using Python
- Extracting yield curve factors using Nelson Siegel-Svensson Model
Using US treasury and German bond (monthly data from 1990-2022). I will need you to extract the 4 factors in Nelso Siegel-Svensson model. (Beta 1 - beta 4).
- Forecasting data using: AR, ARIMA and simple Machine Learning Algorithm (Linear Regression, Random Forest and SVM)
Make a forecast to those factors. compare AR, ARIMA, Linear Regression, Random Forest and SVM. analyse the best forecaster using MAE and RMSE (from the training and test data). we will use the best one to forecast monthly data for the 3 years ahead.
for the corporate bond we will use index (there will be 3 index used) and extract the yield accoring to Nelson Siegel Model and add spread to it. and make same forecast as above.
- Running Markowitz (mean-variance) Optimization
From the forecasted data we calculate the 3 years rolling return (using geometric mean) and volatility. and run markowitz to obtain the most optimized portfolio.
Payment will be done 3 days after the work is completed. No Milestone before hand. If you agree then only apply