Quant Finance

This repository collects applied projects focused on quantitative finance applications like time series modelling, algorithm implementation or even macroeconomics.

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Projects Included

• MarkovChains_MonetaryPolicy
  A regime classification model for U.S. monetary policy based on macroeconomic indicators. It uses a Markov Chain approach to replicate transitions between Dovish, Neutral, and Hawkish regimes.

• EMB_GARCH
  A collection of volatility models (GARCH, GARCH-t, EGARCH, IGARCH) applied to sovereign bond data from Emerging Markets (EMB ETF). Includes rolling forecasts and model comparisons.

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How to Use

To explore or run the notebooks:

1. Clone the repository:

git clone https://github.com/FrancescoMosti/timeseries-models.git
cd quant-finance/

2. Open any project folder and run the notebooks using Jupyter or your preferred environment.

3. Ensure you have the required packages installed. Common dependencies include:

pip install pandas numpy matplotlib statsmodels arch openpyxl

Each subfolder includes its own data and documentation.

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Author

Francesco Mosti
francesco.mosti@yahoo.com