My projects, you can find Data Science, Machine Learning, Deep Learning, Econometrics and Statistics stuff here. Notebooks, papers (reports) and presentations.

Hope you enjoy!

February 7, 2021

IMDB movie reviews - sentiment analysis

This project is about sentiment analysis (text mining field), you can expect: data preparation (nulls and balance check, regex cleaning, label decoding, review length constraint, tokenization, vocabulary building) working with pretrained word embeddings (GloVe) data analysis (embedding coverage, detailed cleaning with regex, stop words, word clouds and count plots) modelling (CNNs, RNNs, VADER) with Cross Validation and error analysis (confusion matrix, misclassification examples analysis) experiments (review length and GloVe dimension sensitivity) 86% test set accuracy Jupyter Notebook report in English (a lot of Python code) GitHub repository

January 31, 2021

Currency exchange - markov switching model

This project is about float, fixed and mixed exchange rates differences, you can expect: working on the real data (from fxtop.com) analysis period selection data analysis (realizations plots) cointegration testing (two-step Engle-Granger procedure (1987)) statistical tests (Augmented Dicky-Fuller, Breusch-Godfrey, F, Ljung-Box) model selection (information criteria) Markov switching modelling hypotheses verification (rate swings) inference and interpretations quality paper-style report in Polish GitHub repository

January 26, 2021

WIG index volatility modelling

This project is about volatility models comparison, you can expect: working on the real market data (from stooq.pl) time series data EDA (logarithmic returns transform, realization plots, ACFs, PACFs, descriptive statistics) statistical tests (ARCH LM, Jarque-Bera) GARCH modelling with prior assumptions about epsilon distribution (hypotheses) 4 GARCH models (standard, exponential, threshold, component) with 4 different epsilon distributions each (normal, t-student, skewed t-student, generalized error) 3 naive models (random walk, historical average, moving average) 9 performance metrics (ME, MAE, RMSE, AMAPE, TIC, MME(U), MME(O), DCP, DCPU) quality paper-style report in Polish GitHub repository