Heather E. Dempsey

Quantitative Researcher

Skill Set:

Machine learning models:

Model design
Parameter tuning
Cross-validation

Languages:

Python 3.12
C#
SQL

Research Projects

Negative Nominal Interest Rates

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Predicting Corporate Bankruptcy

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This paper presents an empirical investigation which endeavors to answer the question of whether corporate bankruptcy1 can be accurately predicted based on publicly available financial information. In this study, a logistic regression model is specified to forecast the probability of failure three months ahead as a function of publicly available data. The sample includes quarterly financial data from Q12005-Q12015 on [insert number of firms] small, medium and large firms as measured by market capitalization calculated from the Center for Research in Securities and Prices (CRSP)/Compustat Merged Database. Firm-level accounting information from the balance sheet, cash flow, and income statement are taken for the years 2005 to 2015 to predict the probability of failure in 3 months’ time. This analysis provides government regulators, business analysts and researchers a framework through which to quantify the likelihood of corporate failure and intervene to obviate that failure. Cash flow and debt ratios, significant at the 1% level, are the most important factors in the likelihood of a firm’s continued viability. The profitability ratio, quick ratio and size are all significant at the 5% level, proving reliable indicators of the impact on the likelihood of failure with forecast accuracy, overall.

Predicting Corporate Bankruptcy

Pairs Trading with a Kalman Filter

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Dissertation

Dissertation

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Pairs Trading

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Predicting Corporate Bankruptcy

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Presentation #1

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Residuals

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ROA

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US Stock Returns Forecasts vs. Random Walk Theory

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MATLAB Files

MATLAB

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OLS

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Test

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* These are MATLAB files and require MATLAB. If you don't already have MATLAB, you can download a trial version by clicking here. You'll have the option to purchase a copy or have the ability to access MATLAB online.

These MATLAB files are a work in progress. Feel free to download them for your own use. If you have any questions or technical difficulties please contact me.