csatzky Goto Github PK

followers: 8.0 following: 2.0 repos: 7.0 gists: 0.0

Name: Christian Satzky

Type: User

Company: sharelab.com

Bio: Statistical programmer/financial economist interested in quantitative market risk and empirical asset pricing. My projects are fully reproducible.

Location: Hong Kong, Germany, UK

Blog: christiansatzky.com

Christian Satzky's Projects

asian-option-pricing-in-r

In this article, I present methods to efficiently estimate the price and the probability of exercise for vanilla and exotic options in R. In addition, I compare the empirical delta between European and average rate Asian options.

csatzky.github.io

Use this template if you need a quick developer / data science portfolio! Based on a Minimal Jekyll theme for GitHub Pages.

empirical-analysis-of-asset-pricing-beliefs

In this study, I empirically and statistically investigate the credibility of common asset pricing beliefs using data from S&P 500® constituents from January 2010–December 2020.

forecasting-realized-volatility-using-supervised-learning

Traditionally, volatility is modeled using parametric models. This project focuses on predicting EUR/USD volatility using more flexible, machine-learning methods.

market-toolkit

A collection of stock market resources and tools

silver-commodity-market-timing

In this article, I present a simple, macroeconomic pricing model for the silver commodity. I construct a statistical fair-value indicator for the silver spot price using recent U.S. data.