December 21, 2018

With the school term now finished, here are some links to a few of the research projects I did this semester.

  • Predicting Fama French Factors Using Machine Learning Techniques
    • PDF, Github repository
    • This paper applies a variety of machine learning models to the task of predicting two of the Fama-French factors, SMB and HML. For each year of predictions the models are trained on the previous four-hundred months of data. Predictions are made for the period of 1988-2018. The performance of trading strategies based on these predictions are assessed. Our results suggest that machine learning models do possess predictive ability for these factors.
  • Rating the Critics: An In-Depth Look at New York Times Film Critics and the Academy of Motion Picture Arts and Sciences Voting Membership
    • HTML, Github repository
    • This analysis considers three related questions: are film critics from the NYT able to predict box office hits, what kind of storylines do NYT critics favour, and, what best picture nominees tend to win the Oscar.
  • Toronto’s Evolution of Attitudes Towards Real Estate
    • PDF, Github repository
    • This report looks to measure the evolution of Toronto’s attitude towards real estate via applying natural language processing techniques (LDA and sentiment analysis) to newspaper articles.