Publications by Nico

Implied Volatility (Cheap/Rich) Analysis

21.10.2023

1 Guidelines For any option trader, implied volatility (IV) is one of the most important considerations because it has a direct impact on pricing. It has been our experience that IV increases before an earnings announcement and that this increase is due to option writers who want to ensure adequate protection of their portfolios from significant p...

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UAE: Capital Allocation via Cost of Capital

17.08.2023

1 Stock Screener 2 Risk Premium 3 Businesses 3.1 Excess Returns 3.2 Capital Structure 4 Industries 5 Database UAE data sets 6 References Capital Allocation via Cost of Capital Global Capital Structure Database Global Default Spreads & Risk Premiums...

282 sym

Singapore: Capital Allocation via Cost of Capital

13.07.2023

1 Stock Screener 2 Risk Premium 3 Businesses 3.1 Excess Returns 3.2 Capital Structure 4 Industries 5 Database Singapore data sets 6 References Capital Allocation via Cost of Capital Global Capital Structure Database Global Default Spreads & Risk Premiums...

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Extracting Data from the Singapore Capital Allocation Database

13.07.2023

1 Context In this lecture, we look at how we can use R to automate the process of extracting relevant fundamental data from the Singapore capital allocation database. 2 Initialization We begin by: 2.1 Clearing all pre-existing objects from the workspace rm(list=ls()) 2.2 Initializing the file paths path_root <- "." # Sets the current working di...

7677 sym R (6120 sym/22 pcs)

Saudi Arabia: Capital Allocation via Cost of Capital

21.02.2023

1 Stock Screener 2 Risk Premium 3 Businesses 3.1 Excess Returns 3.2 Capital Structure 4 Industries 5 Database Saudi Arabia data sets 6 References Capital Allocation via Cost of Capital Global Capital Structure Database Global Default Spreads & Risk Premiums...

291 sym

Extracting Data from the Saudi Arabia Capital Allocation Database

21.02.2023

1 Context In this lecture, we look at how we can use R to automate the process of extracting relevant fundamental data from the Saudi Arabia capital allocation database. 2 Initialization We begin by: 2.1 Clearing all pre-existing objects from the workspace rm(list=ls()) 2.2 Initializing the file paths path_root <- "." # Sets the current working...

7703 sym R (6186 sym/22 pcs)

Water Utility Services

13.09.2022

MOTIVATION How to best allocate business responsibilities and risks and how to design tariff adjustment and other rules to achieve the desired allocation in a public-private-partnership. Under public provision the contracting authority is responsible for managing the business, operating and maintaining the assets, investing in new assets, and f...

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S&P500 Monthly Valuation

08.10.2022

Assumptions inputs %>% listviewer::jsonedit(.) Valuation Fair Value: 4,549.19 The discounted cash flow model is a useful tool to frame the question of what the fair value is for the S&P500, and what the market is currently discounting. perc_vars=c("growth", "cash_payout", "riskfree_rate", "required_return") ron_vars=c("earnings", "dividends_buyb...

660 sym Python (1638 sym/3 pcs)

TextMining Warren Buffett Letters to Shareholders

24.10.2022

Few years ago I saw a sentiment analysis by Michael Toth of Warren Buffett’s letters to shareholders. It’s a super interesting analysis, done well, but we can see from some of the plots in that analysis that the specifically financial nature of these documents would make a financial sentiment lexicon a great choice. Sentiment lexicons are lis...

5168 sym Python (6666 sym/13 pcs) 6 img

Airbnb Dashboard for Singapore

24.10.2022

Airbnb Dashboard for Singapore Overview Column Basic Info Hello! Welcome to the Airbnb dashboard! Airbnb is a online marketplace for lodging, primarily for vacation rentals, and tourism activities. It allows users to connect directly with property owners and managers for affordable and flexible rentals, and allows property owners to easily ...

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