Publications by Thanh Dat
Research Methods in Finance
Research Methods in Finance 1 Cointegration 1.1 Unit Root Testing 1.2 Cointegration 1.3 Error Correction Models 1.4 Residuals-Based Approach 1.5 Parameter Estimation 1.6 Johansen Technique on VARs 2 Volatility Modelling 2.1 Motivations 2.2 Models for Volatility 2.3 Historical Volatility 2.4 Implied Volatility Models 2.5 Autoregressive Volatil...
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Importing and Managing Financial Data in R
Importing and Managing Financial Data in R 1 Introduction and downloading data 1.1 Welcome to the course! 1.2 Introduction to Quandl 1.3 Finding data from internet sources 2 Extracting and transforming data 2.1 Extracting columns from financial time series 2.2 Importing and transforming multiple instruments 3 Managing data from multiple sour...
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Introduction to R for Finance
Introduction to R for Finance 1 The Basics 1.1 Welcome to Introduction to R for Finance! 1.2 Financial returns 1.3 Basic data types 2 Vectors and Matrices 2.1 What is a vector? 2.2 Vector manipulation 2.3 Matrix - a 2D vector 3 Data Frames 3.1 What is a data frame? 3.2 Data frame manipulation 3.3 Present value 4 Factors 4.1 What is a fact...
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Intermediate R for Finance
Intermediate R for Finance 1 Dates 1.1 An introduction to dates in R 1.2 Date formats and extractor functions 2 If Statements and Operators 2.1 Relational operators 2.2 Logical operators 2.3 If statements 3 Loops 3.1 Repeat loops 3.2 While loops 3.3 For loops 4 Functions 4.1 What are functions? 4.2 Writing functions 4.3 Packages 5 Apply ...
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Correlation and Regression in R
Correlation and Regression in R 1 Visualizing two variables 1.1 Visualizing bivariate 1.2 Scatterplots 1.3 Boxplots and scatterplots 1.4 Characterizing bivariate 1.5 Creating scatterplots 1.6 Characterizing scatterplots 1.7 Transformations 1.8 Outliers 1.9 Identifying outliers 2 Correlation 2.1 Strength of bivariate 2.2 Correlation scale 2.3 Co...
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Life Expectancy
1 Datasets 1.1 The Information Table 1.2 Scraping the Data 2 USA Insights 2.1 Mortality rates 2.2 Survival probablity 2.3 Life expectancy 3 Big Data 3.1 The general looks 3.2 Big Data joining Gapminder Life Expectancy Dr. Le Nhat Tan Tran Thanh Dat - International University 31 December 2021 1 Datasets 1.1 The Information Table First...
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Statistics
Datasets Climate Change Knowledge Portal The CCKP is committed to transparency and data availability. We can visit World bank climate for reference. All data presented on the site is freely available for download. You can tailor your specific download needs by completing the requests for each download tab. Spatial data is provided as a global Ne...
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Portfolio Management
1 Investment Policy Statement 1.1 Introduction 1.2 Objective and Risks 1.3 Constraints 1.4 Asset allocation 1.5 Portfolio report 1.6 Portfolio rebalance 2 Large market capital companies 3 Methodology 4 Portfolio Performance 4.1 Import Data 4.2 Week 1: 04/11/2021 – 12/11/2021 4.3 Week 2: 15/11/2021 – 19/11/2021 4.4 Week 3: 22/11/2021 – 26/1...
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FM1 Minimized
Financial Mathematics 1 1 Capital Allocation 1.1 Three seasons - slide 47 1.2 Three seasons - slide 51 1.3 Five seasons - slide 55 2 Stock Analysis (2 assets) 2.1 Weights 2.2 Return and Variance 2.3 Min-variance 2.4 Mean-variance 2.5 VN30 3 Portfolio Analysis (3 assets) 3.1 Compute rate of return 3.2 Covariance-variance matrix 3.3 Min-variance...
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Quantitative Risk Management in R
Quantitative Risk Management in R 1 Exploring market risk-factor data 1.1 Exploring risk-factor 1.2 Risk-factor returns 1.3 Aggregating log-returns 1.4 Other kinds of risk factors 2 Risky real world returns 2.1 The normal distribution 2.2 Testing for normality 2.3 Skewness, kurtosis & JB test 2.4 The Student t distribution 3 Volatile and cor...
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