HighFrequencyEconometrics-HAR-vs.-Neural-Networks

Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performance of the two models (HAR & Neural Networks). - The data used in this project is 2 years worth of intraday 5-minute realized volatility (See: Sheppard, Patton, Liu, 2012) from 20 Dow Jones stocks, that has been scrutinized using bivariate analysis and manipulation into a single dimension.

TrumpTweetsForecastingStockMarket

Inspired by Meryll Lynch and Bloomberg setting up instruments that followed the tweeting patterns of president Donald Trump: I did a project on the correlation between Donald Trump's tweets and the stock market. The project wanted to answer what data was more powerful when forecasting using only twitter data; the qualitative sentiment data, or the quantitative data.

Covid19-And-HighfrequencyEconometrics

I wrote my master thesis on the impact of Covid-19 related sentiment variables on the DJIA, in High Frequency Econometrics. Something I wish to share with you!