Milan Peter
Milanpeter-77
Equity Analyst & Quant Researcher
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A compact coursework repository combining empirical S&P 500 return modelling with binomial-tree and Black-Scholes option pricing, including numerical methods and dynamic hedging.
Statistical arbitrage pairs trading project that scans the Dow Jones Global Titans 50 for cointegrated stock pairs and tests a mean-reversion trading strategy using Engle–Granger cointegration tests.
Using publicly available daily factor and a panel of stock returns, estimate the time-varying betas to the selected factor using either DCC-GARCH.
Morgan Stanley's Quant Challenge Qualifier Competition
Showcase of my logical thinking and understanding of trading orders
Repositories
31Statistical arbitrage pairs trading project that scans the Dow Jones Global Titans 50 for cointegrated stock pairs and tests a mean-reversion trading strategy using Engle–Granger cointegration tests.
No description provided.
CDS curve stripping project comparing a simplified hazard-rate approximation with an exact iterative pricing-based model under different interest rate scenarios.
Comparative credit default prediction study using logistic regression, decision trees, neural networks, and gradient boosting with class-imbalance-aware evaluation.
Comparative machine learning analysis for housing price prediction using OLS, LASSO, and Ridge regression with forecast evaluation and Diebold–Mariano testing.
Monte Carlo simulation of credit migration and default risk under a one-factor Merton model, comparing concentrated and diversified bond portfolios.
Using publicly available daily factor and a panel of stock returns, estimate the time-varying betas to the selected factor using either DCC-GARCH.
A compact coursework repository combining empirical S&P 500 return modelling with binomial-tree and Black-Scholes option pricing, including numerical methods and dynamic hedging.
A minimal repository containing the PDF of a Black–Scholes derivation and the Python notebook used to generate all accompanying plots and visual explanations.
Finite-horizon dynamic programming and Monte Carlo simulation of an optimal policy under uncertainty – bridging inventory theory and quantitative finance decision models.
A short demonstration of Modern Portfolio Theory and risk measures, showing how diversification, optimisation, and downside-risk metrics shape rational portfolio construction
No description provided.
Examining high-frequency ETF data using ARMA, VAR, and GARCH models to capture return dynamics and volatility.
A progressive portfolio construction journey – from momentum-based intuition to life-cycle and ESG-optimised allocation – demonstrating the practical application of quantitative investment theories.
Estimating pooled, fixed, and random effects models on S&P 500 excess returns to test Fama–French factor sensitivities across firms and sectors.
A project for visualising geospatial datasets through animated map, spatial layers, and geographic projections.
Empirical forecasting of the equity risk premium using historical financial predictors and time-series regression methods.
Create and publish a dynamic portfolio, forked from arifsz
Morgan Stanley's Quant Challenge Qualifier Competition
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This script sends daily foreign exchange rates as a push notification using ntfy.sh
Showcase of my logical thinking and understanding of trading orders
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German Credit Data - 1994
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