Publications by C. Alberto Dorantes Dosamantes, Ph.D.
Workshop 1 Solution - Financial Modeling and Programming
Content 1 Introduction 2 Review of logit regression and its applications in Finance 3 Data collection 4 CHALLENGE 1 - CALCULATE QUARTERLY EBIT FROM YTD EBIT 5 CHALLENGE 1 SOLUTION 6 Brief descriptive statistics 6.1 CHALLENGE 2 - Creating a cross-sectional dataset 7 CHALLENGE 2 SOLUTION 8 CHALLENGE 3 - PASTE THE INDUSTRY INTO THE USPANEL AND THE ...
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Workshop 2, Investment Funds
Content 1 General directions for this Workshop 2 The CAPM model 2.1 Data collection 2.2 Download stock data 2.3 Download risk-free data from the FED 2.4 Subsetting the risk-free dataset 2.5 Estimating the premium returns 3 Q Visualize the relationship 4 Q Estimating the CAPM model for a stock 5 Multi-Factor Models 6 W2 submission Workshop 1, In...
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Workshop 1 - Investment Funds
Content 1 General directions for this Workshop 2 Portfolio Theory - Review 2.1 What is a Portfolio 2.2 Estimation of expected return of an asset 2.3 Estimation of expected risk of an asset 2.3.1 Variance 2.3.2 Standard deviation - volatility 2.4 Historical Sharpe ratio of a portfolio 3 Calculating expected portfolio return 3.1 Expected portfo...
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Project 2 - Advanced Statistics for AI
Table of contents 1 Part 1 - Advanced topics in multiple regression 1.1 Descriptive Statistics 1.2 Multiple Regression - advanced topics 1.2.1 Calculation of Variables 1.2.2 Winsorization of variables 1.2.3 Multicollienarity 1.2.4 Multiple regression model 1.2.5 Regression Diagnosis 2 Part 2 - Forecasting Queretaro industrial activity 3 Evaluat...
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Workshop 4 - Statistics for AI
Content 1 Workshop Directions 2 Introduction 3 Interesting facts from history 4 Types of data structures 5 The OLS method 6 CHALLENGE: Estimate a market regression model 7 The standard error of the beta coefficients 8 CHALLENGE: Estimate moving betas for the market regression model 9 t-Statistic, p-value and 95% confidence interval of beta coeffic...
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Workshop 3 - Statistics for AI
Content 1 Workshop Directions 2 Hypothesis testing - comparing the mean of 2 groups 3 Confidence level, Type I Error and pvalue 3.1 CHALLENGE - IS AMD MEAN RETURN HIGHER THAN INTEL MEAN RETURN? 4 Measures of linear relationship 4.1 Covariance 4.2 Correlation 4.3 Calculating covariance and correlation 5 References Workshop 3, Advanced AI - Sta...
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Project 1 - Statistics for AI
Table of contents 1 Case Description 2 Business Questions 2.1 General questions: 2.2 Specific questions: 2.2.1 About descriptive statistics: 2.2.2 About statistical modeling 3 Deliverables 4 Evaluation criteria Project Block 1: Understanding profitability in the US financial market Author Alberto Dorantes D. Published August 8, 2023 Abst...
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Workshop 1 - Statistics for AI
Content 1 Workshop Directions 2 Descriptive Statistics 2.1 Central tendency measures 2.1.1 Arithmetic mean 2.1.2 The Median 2.1.3 Mode 2.2 Dispersion measures 2.2.1 Variance and standard deviation 2.3 CHALLENGE: Data management and Descriptive Statistics 2.3.1 Data collection and visualization 2.3.2 Data transformations 2.3.2.1 Return calcu...
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Creating an Index from a portfolio
Este es un ejemplo de cómo crear un índice a partir de un conjunto de acciones. La idea es generar un índice tipo ETF con un portafolio definido. Inicio bajando de Yahoo precios de 4 acciones library(quantmod) misticker = c("AAPL","LMT","RTX","MRO") getSymbols(Symbols = misticker,from="2019-01-01",to="2023-06-08",periodicity="monthly") ## [1...
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Workshop 2 Solution - Time Series
1 General directions for this Workshop You will work in RStudio. You can go to the RStudio web site and follow instructions to download the R software and the free version of RStudio. It is strongly recommended to have the latest version of R and RStudio. Once you are in RStudio, do the following. Create an R Notebook document (File -> New File...
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