Open BooleanJulien opened 2 years ago
45 minutes
Overall I really liked your project, here are some things I specifically liked:
A couple of minor suggestions below:
/src
directory could be merged/combined into one .py
file. For example stocks-trends-merge.py
, stocks-price-merge.py
, price_trend_merger.py
could be merged into one document where the code happens sequentially. main
function (this improves code modularity)./eda
, which would then allow /src
to only contain python and R files.License
in your README, it could say something like "The source code for the site is licensed under the MIT license"/processed
and /raw
to help with the overall project structureto_be_deleted.txt
, assuming you can delete these nowThis was derived from the JOSE review checklist and the ROpenSci review checklist.
30 minutes
This was derived from the JOSE review checklist and the ROpenSci review checklist.
30 minutes
Overall the report is very well written and it is clear and in a good logical flow. Explanations are very thorough. Regarding the repository, the data folder should contain the raw/processed data for the analysis. But result tables were also included in the same said folder which was supposed to be included in the results folder. The instructions for running the necessary scripts are using generic variables (instead of relative path, actual data file name). The visualization in the final report can be improved by increasing the font size, margin, and axis ranges.
It would be interesting to explore some more in-depth models and explore time series data analysis, correlated time series analysis, etc. A plot of the time-series data + the predicted value could be useful to be looked at to assess model performance. Also, the time series may experience a delay effect (search first then the price goes volatile or the price goes volatile cause of some news then searches) this may contribute to some delay effect or any seasonal effect may violate the linear assumption in the model used.
This was derived from the JOSE review checklist and the ROpenSci review checklist.
- It is really interesting that you choose this topic, I think doing volatility analysis is extremely useful because the price of options and some stock alpha strategies will be related to volatility. - The EDA report and plots are clear and easy to follow. The whole report is in a good structure.
$ $ - The script can be combined somehow so that people can reproduce it easier. - I think it will be better if you do more analysis on time series. Because although weekly is a good time period, still it will be better if we see the trend. For example, how is the relationship when the time window is an hour, 1-day, 5-day, a month? It will be even better if you put time series on the x-axis and show us the trends in one single plot. - Also, you can explore how google trends in time $t$ is related to the return in time $t+1$, $t+2$. Like answering a question that is google trend a sign in advance or behind. - Although google trends are a good angle to look at this topic, logically google trends might not be a signal in advance regarding investment. - I think return volatility is not the final thing people want to know, maybe bridge return volatility to the options price will make the conclusion and insight fancier. And the theory that return volatility is related to option price actually guaranteed it, it is just better to show that to non-tech people. I mean it is a simple and low-risk step but makes the conclusion even better.
This was derived from the JOSE review checklist and the ROpenSci review checklist.
Thank you for all of your comments, review team! We appreciated, agreed with, and implemented many of your comments, but we will highlight a few examples of implementation for the purposes of the assignment deliverables.
- I would suggest adding a section for License in your README, it could say something like "The source code for the site is licensed under the MIT license"
- In the data folder, you could further separate these files by /processed and /raw to help with the overall project structure
- Minor but there is are a few files in the repo called to_be_deleted.txt, assuming you can delete these now
License in readme https://github.com/UBC-MDS/Stock-Price-Trend-Volatility-Analysis/commit/e8962ef3fff99cae458f080d5301849243b5deb4
Processed vs raw https://github.com/UBC-MDS/Stock-Price-Trend-Volatility-Analysis/commit/e88d9e4ebf526f04188b815976b0238c1a776105
But result tables were also included in the same said folder which was supposed to be included in the results folder.
Moving regression results to the results folder https://github.com/UBC-MDS/Stock-Price-Trend-Volatility-Analysis/commit/0daad5659a758184d77978ff412f6ef4c7595897
Suggested adding/fixing figure captions
We addressed this in a few commits
https://github.com/UBC-MDS/Stock-Price-Trend-Volatility-Analysis/commit/13df4e70d3eb432d0faac68dc5cb6fe22b3ea353 https://github.com/UBC-MDS/Stock-Price-Trend-Volatility-Analysis/commit/829c7ca0093369b037a950eca0175a98967de4c0 https://github.com/UBC-MDS/Stock-Price-Trend-Volatility-Analysis/commit/13df4e70d3eb432d0faac68dc5cb6fe22b3ea353
Submitting authors: Amir Shojakhani, Helin Wang, Julien Gordon
Repository: https://github.com/UBC-MDS/Stock-Price-Trend-Volatility-Analysis Report link: https://github.com/UBC-MDS/Stock-Price-Trend-Volatility-Analysis/blob/main/doc/Stock_Price_Trend_Volatility_Analysis_report.md Abstract/executive summary:
Investment firms are increasingly looking to data science and unusual data sources to provide informational advantages to bolster their portfolio strategies. In this project, we are investigating whether Google Trends data on stock ticker names can provide insight into return volatility**. Investors are often interested in understanding the volatility of stock returns. Some financial derivative trading strategies try to take advantage of changes in a stocks' volatility, as certain options are sensitive to changes in implied volatility. See a primer on option vega if you are interested! https://www.investopedia.com/terms/v/vega.asp
Consider this project a screening exercise for whether Google Trends could be useful in volatility-based trading strategies.
In order to assess the association between stock return volatility and search trend volatility, we analyse the standard deviation of weekly search trends and weekly returns for over 300 stocks in the S&P 500 over a one-year period from July 2020 to July 2021. We conduct a simple linear regression with a confidence level of 0.95 with the return volatility as the dependent variable and search trends volatility as the independent variable. Our null hypothesis is that there is no association between the two volatilities, with the alternative being that there is an association.
Ultimately, we find a significant coefficient of trend volatility and reject the null hypothesis in favour of the alternative. The R^2 value indicates that our simple model is explaining very little of the variation in return volatility. Moreover, the effect size seems to be fairly small in relation to the range of return volatility that we observe in the data. These caveats are to be expected considering we are using a very simple model to understand markets which contain lots of complexity. Nonetheless, this positive result is exciting and warrants future investigation into the use of Google Trends for Financial Analysis.
**Note that in statistical terms, the volatility is simply the standard deviation of returns. https://www.investopedia.com/terms/v/volatility.asp
Editor: @flor14 Reviewer: Steven Lio, Chaoron Wang, Wenjia Zhu, & Nico Van den Hooff