#JonCHull@hunt4quant

Dear all, this Friday and next Friday I’m giving lectures at the HSE MBA program and the only option I have for our Fridays meetings is 17:00.

What about today? Fine or not? If not the only thing I can do is skip this Friday. Let me know in personal message or in comments here.

The zoom is the same. Let’s start

#JonCHull@hunt4quant

Dear all!

Today we will be discussing project structures (ones you have prepared and those I have from previous years) and proceed to literature review and data collection.

#master_thesis_and_poroject@hunt4quant

See you at livestream here at 17:30 Moscow time. Language is Russian or English depending on who is attending the meeting.

Starting in 10 minutes ⚠️

#master_thesis_and_poroject@hunt4quant

Part 2: general words, data exploratory analysis, metrics

English

#real_estate@hunt4quant

Dear all! You keep reaching me with RE questions so let’s break down each feasible hypothesis with a dataset example, explanation, and a relevant paper.

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### 1. Interest Rate Sensitivity Hypothesis
Hypothesis: Changes in interest rates significantly affect real estate prices, with higher rates leading to lower prices due to increased borrowing costs.

Dataset Example:
- Federal Reserve Economic Data (FRED): Interest rates, mortgage rates, housing price indices.
- OECD Database: Long-term interest rates and house price indices.

Explanation:
Interest rates influence mortgage affordability. Higher rates make loans more expensive, reducing demand and lowering property prices.

Relevant Paper:
- "The impact of interest rates on housing prices: Evidence from the US"
- Published in *Journal of Housing Economics*.
- Analyzes the sensitivity of housing prices to changing mortgage rates.

---

### 2. Economic Growth Impact Hypothesis
Hypothesis: Economic downturns or recessions cause a decline in real estate prices, while periods of economic growth drive prices up.

Dataset Example:
- World Bank Open Data: GDP per capita, unemployment rates.
- OECD Statistics: Quarterly GDP growth rates and housing price indices.

Explanation:
A growing economy increases purchasing power and demand, driving up prices. In a recession, the opposite occurs.

Relevant Paper:
- "Housing Prices and Economic Growth: An Empirical Study"
- Published in *Real Estate Economics*.
- Examines the correlation between GDP growth and housing price trends.

---

### 3. Income Elasticity Hypothesis
Hypothesis: Real estate prices are positively correlated with household income, with higher incomes leading to increased demand and higher prices.

Dataset Example:
- Bureau of Economic Analysis (BEA): Personal income data.
- National Bureau of Statistics (Russia): Average monthly wages, housing prices.

Explanation:
As household income rises, families can afford more expensive properties, driving up prices, especially in desirable areas.

Relevant Paper:
- "Income Growth and Housing Demand: Evidence from European Cities"
- Published in *Urban Studies*.
- Shows a positive correlation between wage growth and urban housing prices.

---

### 4. Inflation Pass-Through Hypothesis
Hypothesis: Rising inflation rates directly increase property prices as real estate acts as a hedge against inflation.

Dataset Example:
- OECD Inflation Data: Consumer Price Index (CPI).
- Federal Reserve Economic Data (FRED): Housing price index and CPI.

Explanation:
Real estate is seen as a stable asset during inflation, attracting investments and driving prices up.

Relevant Paper:
- "Inflation Hedging with Real Estate: A Global Perspective"
- Published in *Journal of Real Estate Finance and Economics*.
- Analyzes real estate as a hedge against inflation using global data.

---

### 5. Financial Market Spillover Hypothesis
Hypothesis: Shocks in financial markets, such as stock market crashes, significantly influence real estate prices through reduced liquidity and investor confidence.

Dataset Example:
- Yahoo Finance or Bloomberg: Major stock indices (e.g., S&P 500, RTS).
- FRED: Real estate investment data.

Explanation:
During a financial crisis, investors liquidate assets, including real estate, causing price declines. Conversely, booming markets may attract speculative investment.

Relevant Paper:
- "Financial Market Turmoil and Real Estate Prices: Evidence from the Global Financial Crisis"
- Published in *Journal of Financial Stability*.
- Examines the linkage between stock market crashes and real estate depreciation.

---

### 6. Regional Variation Hypothesis
Hypothesis: The impact of macroeconomic shocks on real estate prices varies significantly across regions, depending on local economic conditions and market maturity.

Dataset Example:
- Russian Federal State Statistics Service (Rosstat): Regional real estate prices.

#real_estate@hunt4quant

https://disk.yandex.ru/i/ArqTpL7Erjd_nw

The webinar with Real Estate experts is now available for downloading. Enjoy ☺️

And many thanks the HSE 🥰

#JonCHull@hunt4quant
See you at 17:00 today ☺️

The zoom is here (same as usual). I’m starting 😉

#kelly_criterion@hunt4quant

Dear all!
Some links for those of you who are doing “Kelly Criterion Research”

• Chawla, Karan. "The Kelly Criterion." Github. https://github.com/1kc2/The-Kelly-Criterion.
• Chawla, Karan. "The Kelly Criterion." Mental Quill. 18 Oct 2020. https://blog.karanchawla.me/2020/10/18/the-kelly-criterion/

1 Peterson, Zachariah. "The Kelly Criterion in Portfolio Optimization: A Decoupled Problem." Journal of Investment Strategies, vol. 7, no. 2, 2018, pp. 1–15, https://arxiv.org/abs/1710.00431
◦ Required pages: All
◦ Estimated reading time: 30 minutes
2 Carta, Andrea, and Claudio Conversano. "Practical Implementation of the Kelly Criterion: Optimal Growth Rate, Number of Trades, and Rebalancing Frequency for Equity Portfolios." Frontiers in Applied Mathematics and Statistics, vol. 6, no. 557050, 2020, pp. 1–15, https://www.frontiersin.org/articles/10.3389/fams.2020.577050/full


• Carta, Andrea, and Claudio Conversano. "Practical Implementation of the Kelly Criterion: Optimal Growth Rate, Number of Trades, and Rebalancing Frequency for Equity Portfolios." Frontiers in Applied Mathematics and Statistics, vol. 6, no. 557050, 2020, pp. 1–15, https://www.frontiersin.org/articles/10.3389/fams.2020.577050/full
• Peterson, Zachariah. "The Kelly Criterion in Portfolio Optimization: A Decoupled Problem." Journal of Investment Strategies, vol. 7, no. 2, 2018, pp. 1–15, https://arxiv.org/abs/1710.00431

#master_thesis_and_poroject@hunt4quant

Master Thesis Part #3

From idea to pseudo code. An explanation based on this paper

https://arxiv.org/pdf/1804.10869

The recording is in Russian. For English please send your request.