Fedor Levin's Data Science Portfolio

Regime Change Prediction - US Recessions

• Extracted macroeconomic indicators from FRED
• Selected features and trained Logistic Regression model
• Achieved Area Under Curve: 0.94
  

Constant Proportion Portfolio Insurance - Industry Portfolio

• Created industry indexes based on S&P500 prises and market capitalization
• Applied CPPI model using STIP ETF as a "safe" asset
• Compared price returns of the combined portfolio to the "risky" (equity only) portfolio
• Achieved significant max drawdown reduction (38% for "Energy Minerals")

Sentiment Analysis - Markers - Amazon Reviews

• Created Logistic Regression models predicting Positive/Negative labels for Amazon reviews of acrylic markers
• Engineered features using N-grams and Tfidf
• Optimized using GridsearchCV to reach the best model
• Achieved Area Under Curve: 0.90