Quant Finance Research Reports
Our Quant Team have put together Research Reports on various topics.
Collection of Research Reports:
Computing the Value at Risk Metric
This report introduces the VaR metric, a statistic giving an indication of potential losses due to an investment, and looks at two ways of calculating it.
Gianmarco del Pino.
Gianmarco del PinoLinkedin
3rd Year MMath Student at University of Warwick from Chile interested in the quantitative finance sector.
CAPM and the Markowitz Frontier
This report explores the Capital Asset Pricing Model (CAPM), which gives a relationship for systematic risk and expected return of an asset, and utilising the Markowitz Efficient Frontier to construct the most optimal portfolio.
Gianmarco del Pino.
Gianmarco del PinoLinkedin
3rd Year MMath Student at University of Warwick from Chile interested in the quantitative finance sector.
Interest Rate Derivatives
This report aims to introduce interest rate swaps, LIBOR rates and caps and floors and how these financial instruments work.
Bailey Arm.
Bailey ArmLinkedin
3rd Year MMath Student at University of Warwick.
Statistical Analysis of Popular Drinking Games
This report aims to investigate the mathematics behind a few popular drinking games but also to showcase the variety of methods used to carry out such investigations.
Ivan Silajev.
Ivan SilajevLinkedin
University of Warwick MMorse graduate. Specialising in actuarial mathematics and data science. Interests in both mathematical and social sciences.
Investigating the usage of Social Media Data for Stock Market Inference and Portfolio Construction
This report studies data from Reddit to investigate the site's influence on stock sentiment and trends. Within the report, we study how ticker mention frequency correlates with stock prices and how portfolios that trade off these correlations might perform.
Lewis Broderick-Gatrell & Ivan Silajev.
Lewis Broderick-GatrellLinkedin
University of Warwick MSc Statistics graduate, having previously worked as a Quantitative Analyst at Barings. Interests lie mainly within data science and its applications to financial markets.