Quantitative Analysis

Quantitative analysis (QA) in finance is an approach that emphasizes mathematical and statistical analysis to help determine the value of a financial asset, such as a stock or option. The ultimate goal of financial quantitative analysis is to use quantifiable statistics and metrics to assist investors in making profitable investment decisions. Quantitative analysis is different from qualitative analysis, which looks at factors such as how companies are structured, the makeup of their management teams, and what their strengths and weaknesses are.

The Quantitative Analysis menu is a common menu to three asset classes:

• Crypto
• Forex
• Stocks

Usage

Enter the menu, through one of the asset classes listed above, by entering qa in the Terminal. The ticker that is loaded before entering the menu will determine the timeframe for the analysis. To alter it, use the load function and pick a new --start and --end for the observation window. The QA functions target a specified column of the data. By default, this is returns. Use the pick command to chose a new target column.

The menu is divided into five categories of functions:

• Statistics
• Rolling Metrics
• Risk
• Other

Summary

A summary of exportable statistics is displayed with the command, summary. The example here shows AAPL.

stocks
load aapl
qa
summary

Line

A simple line chart for the target column as a time-series is called with the line command, for example the returns column.

To use the same data and target column, enter:

line

Beta

The beta command shows the beta of the loaded asset with respect to another. Use the -r parameter to select the asset to compare against.

beta -r xlk

Pick

To select a different target, like log returns, use the pick command.

pick -t logret

The choice will be reflected on-screen after the menu is refreshed, ?, h, help - with no command attached.

Rolling

The rolling command plots the rolling mean and standard deviation of the target column over a selectable window of time.

pick -t close
rolling --windows 30

CDF

The Cumulative Distribution Function (cdf) displays the probabilities with quantiles.

load aapl --start 2004-10-30 --monthly
pick -t returns
cdf

Skew

The skew command shows the asymmetric distribution over a specified window. Adjust this window to suit the interval of data loaded. With monthly data, a window of 12 represents one-year.

skew

CAPM

The capm command uses the Fama French Factors to determine market risk against the loaded asset. The output of this function is printed directly to the screen.

capm

Beta:                   1.24
Systematic Risk:        63.63%
Unsystematic Risk:      36.37%