Category: Finance Data

Data Science / Machine Learning, Finance, Finance Data

Multivariate Time Series analysis with volatility-Oil Prices

With the basic analysis on the univariate time series on last blog post “Univariate Time Series Analysis -Oil Prices”. This blog post will continue the analysis on multivariate time series. First is using Henze-Zirklers test to check the multivariate normality. The mvnTest = ”hz” in the mvn function can perform the Henze-Zirklers test. The last column indicates whether data set follows a multivariate normality or … Continue reading Multivariate Time Series analysis with volatility-Oil Prices

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Data Science / Machine Learning, Finance, Finance Data

Univariate Time Series Analysis -Oil Prices

This blog post will try to modeling and forecasting univariate time series dataset with ARMA-GARCH model and exam the goodness of fit with some basic tests. The oil prices dataset is the log returns of four benchmarks(West Texas Intermediate (WTI), Brent Blend, Dubai Crude and Maya) from 10/1/1997 to 4/6/2010. In this data set, each benchmark contains 698 observations, each of them was divided between … Continue reading Univariate Time Series Analysis -Oil Prices

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Article, Data posts, Data Science / Machine Learning, Finance, Finance Data

Dataset: House Property Sales. Exploratory analysis.

By Maria Fernanda Ibarra Gutiérrez and Thu Trang Dinh In this blog post, we will describe the database about House Property Sales, which can be downloaded from: https://www.kaggle.com/htagholdings/property-sales?select=raw_sales.csv According to the first Figure, this database describes some characteristics of the property sales into 5 variables and 29,580 observations from the 7th of February 2007 to the 26 of July 2019. This database does not have … Continue reading Dataset: House Property Sales. Exploratory analysis.

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Article, Data posts, Finance, Finance Data

Dataset I: The Atlas of Economic Complexity-Part A

In this Blogpost, I would like to introduce the Atlas of economic complexity. It is a powerful data visualisation tool developed by the Harvard growth lab. Even at first glance, there is an abundance of information presented in a compelling way on the homepage. If we take more time to dive into the data and tweak different settings, the website delivers even more knowledge and … Continue reading Dataset I: The Atlas of Economic Complexity-Part A

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Article, Data posts, Finance, Finance Data

Dataset I: The Atlas of Economic Complexity-Part B

The first dataset we would like to discuss is the Atlas of Economic Complexity, derived from http://atlas.cid.harvard.edu/explore. After exploring and appreciating those pretty charts and graphs in the post of Part A, we are also interested in the meta datasets under those graphs. The data sources of global goods trade and service trade are United Nations Statistical Division and Direction of Trade Statistics database (IMF) … Continue reading Dataset I: The Atlas of Economic Complexity-Part B

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Article, Data posts, Finance, Finance Data

Examining Purchasing Power Parity theory by a time regression model

Introduction According to Bank International Settlements (2019), the foreign exchange market (or forex market) is the largest and the most liquid financial market in the world with global daily trading of $6.6 trillion in April 2019. Among leading currencies, the British pound sterling (GBP) is ranked fourth in line as one of the most widely traded currencies in the world and the pound has a … Continue reading Examining Purchasing Power Parity theory by a time regression model

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