Publications by Nico
Extracting Data from the Saudi Arabia Capital Allocation Database
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
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
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
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
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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Airbnb Data Analysis for Singapore
1 Database For this section, we demonstrate how to separate, clean and upload host and listing data taken from Airbnb for Singapore. 1.1 Libraries The following libraries are used for data cleaning and database construction # Data cleaning libraries library(readr) library(tidyr) library(stringr) library(tibble) library(dplyr) # Database librar...
20452 sym R (46720 sym/68 pcs) 15 img 8 tbl
R&D Expenses: Formulations for Profitability Measurement and Valuation
Professor Aswath Damodaran suggests that we treat all of R&D expense as tax-deductible capital expenditures, for purposes of valuation, and this can have significant effects on operating income, capital and expected growth measures for firms with substantial research expenses. # The following function converts R&D expenses from operating to capit...
1442 sym Python (15873 sym/3 pcs)
Managing Fixed Income Investments Programmatically
1 Introduction In investment management, the basic portfolio optimization problem is to maximize expected return subject to risk being less than some prescribed limit. A large number of linear constraints can be added and they serve to regularize the solution, that is to say, reduce over-concentration and make stop the target portfolio moving too...
27068 sym Python (15073 sym/47 pcs) 38 tbl
Relative Value Models used in Fixed Income Trading Algorithms
1 Introduction Practical implementations of two relative value models which provide information on over-, respectively underpriced bonds. The first one is a simple model based on traditional yield to maturity analysis and the second one demonstrates the slightly more complex JP Morgan discount function model, an approach of term-structure of inte...
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Systematic Position Management Framework
1 Motivation In this very complex and volatile environment, the aversion to sell out of a losing position is a very powerful instinct. In trading we do not seem to view a paper loss as real until it has been crystallized, so we tend to postpone the painful feeling of losing money. We are also reluctant to admit that we made a mistake with our ini...
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