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Gal Zahavi's blog | Financial Engineering Lab

Gal Zahavi's blog

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weizmann institute of science

 weizmann institute of science is opening its gates to talented young M.Sc\PhD reserchers:On March 21 we are having an open day for potential students, see program at:    http://www.fgs.org.il/article.php?id=673 .

Barclays Capital Israel

 

Stored Data

1. S&P 500 stocks:

======================================

a. 5 days including the dates Dec 3,4,7,8,9 2009. ( spYYYYMMDD)

b. Includes top of book extracted data with Columns Bid,BidSiz,Ask,AskSize,LocalTimeStamp,ExchangeTimeStamp.

 

2. ES future and its options:

=======================================

a. 4 days including the dates Jan 5,6,8,7 2010.( ESYYYYMMDD )

b. Includes top of book data with Columns Bid,BidSiz,Ask,AskSize,ExchangeTimeStamp,LocalTimeStamp

(Time stamp order is revert comparing to S&P data)

 

Data Links

Download Interest rate data.

=============================

http://b2b.thefinancials.com/styles.asp?id=LIBOR_Majors_3m

 http://www.moneycafe.com/markets/interestrates.htm?qm_target_page=Rates

 

Israel Intrest rate data (central bank prime rate)  

http://www.bankisrael.gov.il/deptdata/pikuah/ribit/ribhahdh.htm

http://www.discountbank.co.il/images/HebrewSite2007/skirot/ribit_prime/09_12_07.pdf

 

USA federal reserve  Intrest rate data.

http://www.federalreserve.gov/econresdata/default.htm

 

USA Treasury   Intrest rate data.

 Daily Treasury Yield Curve Rates

 http://www.treasury.gov/resource-center/data-chart-center/interest-rates/Pages/TextView.aspx?data=yield

Download Equity (Stocks) data.

==============================

http://finance.yahoo.com/q?s=

 

Yahoo Finance Stock Screener

This online tool givs a good analysis of all the familiar ratios and avreges.

http://screener.finance.yahoo.com/newscreener.html

 

Yahoo Finance Bond Screener

Credit ranking YTM and more ....

http://screen.yahoo.com/bonds.html

 

Research Data Center (RDC) 

http://sfb649.wiwi.hu-berlin.de/fedc/data.php

 

Stepping stones in finance.

http://galzahavi.com/?page_id=37

 

World Markets.

http://galzahavi.com/?page_id=25

 

Renweable Energy Regulation and Taxetion 

http://www.iea.org/Textbase/pm/grindex.aspx

ifc technion

For up coming event in the Investments & Finance Club in the Technion:

Loge into:

http://ifc.technion.ac.il/default.asp?cid=57

Algoritmica trading seminar.

Robust Portfolio Management Under Extrema Events

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MicrosoftInternetExplorer4

Extracting diffusion jump arrival rate from stock prices.

Extracting diffusion jump arrival rate from stock prices.
 
Yaniv Ling 
 
Advisers: Gal Zahavi, Koresh Galil

Default Sensitivity Under Altman Z-Scor Framework

Default Sensitivity Under Altman Z-Scor Framework.

 

Michal Marom, Tal Moshe, Ron Presburger,  Ziv Wangenheim 


Adviser- Gal Zahavi

 

Abstract

In the early 60's Edward Altman, using Multiple Discriminant Analysis combined a set of 5 financial ratios to come up with the Altman Z- Score. The Z- Score uses statistical techniques to predict a company's probability of failure using the following 8 variables from a company's financial statements. The Z- Score outcome is ranking of three classes of risk to default. Despite of the model simplicity it has proved to be 72% accurate in predicting bankruptcy two years prior to the event, and 90% for a one year prediction. In this study we suggest a refinement of the analysis by adding the internal probabilistic distance to change the risk class. By doing so, we create a model that is sensitive the smallest changes in the ratios, and still maintain the simplicity of the overall analysis.

For complete project power point : P2B

For complete Project report: P2B report

For complete spreadsheet: Results

Useful Links

Ho to write a scientific paper

  This is an obligatory link to students of the lab.

http://abacus.bates.edu/~ganderso/biology/resources/writing/HTWtoc.html

 

Yahoo Finance Stock Screener

This online tool givs a good analysis of all the familiar ratios and avreges.

http://screener.finance.yahoo.com/newscreener.html

 

Yahoo Finance Bond Screener

Credit ranking YTM and more ....

http://screen.yahoo.com/bonds.html

 

Syndicate content

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