Financial Economics

Prof. Nicola Borri

______________________

MABDA - Master in Big Data Analytics

MABDA
Problem Set 1
Team Romeo Vimal, Loris Giaimis

Business
School

START
BUY STOCKS
If the price increased in 5 days

DO NOTHING

LIQUIDITY
>0

DONT BUY
STOCKS

PRICE
PERFORMANCE
Decrease -0,1% in 5 days

SELL -50%
END
Start again

DO NOTHING

The
Algorithm

PAST

SOME ANALYSIS 2007-2011

METRICS
Trading

APPLE - PRICE HIGH @AAPL(PH)

70
60
50
40
30
20
10
0
01/03/2007

01/03/2008

01/03/2009

01/03/2010

Max Price

Max Daily Fluctuation

60,9571

13%

Min Price

Min Daily Fluctuation

11,7143

-12%

Standard Deviation
13,8484

01/03/2011

PERFORMANCES 31-12-2011 / 31-12-2012

Daily Result
2.000.000,00

1.800.000,00

1.600.000,00

1.400.000,00

1.200.000,00

1.000.000,00

800.000,00

600.000,00

400.000,00

200.000,00

INITIAL EQUITY TOTAL RETURN PERFORMANCE

1.000.000

1.316.099,49

32%
Daily Result

SD

PERFORMANCES UNTIL NOW

2.500.000

Initial Equity
1.000.000,00

Total Return Performance

2.196.222

120%

2.000.000

1.500.000

1.000.000

500.000

Daily Return

Standard Deviation