Alternatives and similar repositories for ECON-690-HighFrequencyEconometrics

Users that are interested in ECON-690-HighFrequencyEconometrics are comparing it to the libraries listed below

• YalDan / hf.econometrics
  Companion to publication "Understanding Jumps in High Frequency Digital Asset Markets". Contains scalable implementations of Lee / Myklan…
  ☆16Updated last year
• mdsunivie / HARNet
  TensorFlow implementation of the HARNet model for realized volatility forecasting.
  ☆28Updated last year
• dongxy1014 / Bond-Risk-Premia
  Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python
  ☆12Updated 2 years ago
• Kem975 / Deep_Partial_Least_Squares
  Source code for Deep Partial Least Squares for Empirical Asset Pricing.
  ☆15Updated 3 years ago
• RasLillebo / HighFrequencyEconometrics-HAR-vs.-Neural-Networks
  Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…
  ☆18Updated 4 years ago
• HoagieT / Inflation-Nowcast-Model
  A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.
  ☆15Updated 4 years ago
• ARahimiQuant / lead-lag-portfolios
  Portfolio Construction Utilizing Lead-Lag Relationship Discovery: Identify leaders and followers in financial markets to inform strategic…
  ☆21Updated last year
• theisij / ml-and-the-implementable-efficient-frontier
  Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)
  ☆15Updated 3 months ago
• rune-l / HighFrequency
  High Frequency Jump Prediction Project
  ☆36Updated 5 years ago
• bradleyboyuyang / Empirical-Finance
  Fama-French models, idiosyncratic volatility, event study
  ☆32Updated 2 years ago
• anthonyng2 / Time-Series-Momentum
  ☆18Updated 8 years ago
• sauxpa / Quant
  Quant finance scripts
  ☆16Updated 2 months ago
• sebjai / Portfolio-Wasserstein-Ball
  Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…
  ☆14Updated last year
• Wentworthliu123 / Fama_French_Selfstudy
  ☆9Updated 5 years ago
• YalDan / JumpDetectR
  Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…
  ☆14Updated 3 years ago
• jack-mccoy / missing_data
  Imputing missing stock anomalies data with EM implementation
  ☆13Updated last year
• BessieChen / Algorithmic-Portfolio-Management-in-R-programming-language
  The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…
  ☆13Updated 6 years ago
• coolgan / Quantitative-Finance
  Q-quant和因子投资实证汇总
  ☆20Updated 3 years ago
• wahido / neural_locVol
  ☆14Updated 3 years ago
• kartikay94 / Selecting-stock-pairs-for-pairs-trading-while-incorporating-lead-lag-relationship
  ☆19Updated 5 years ago
• yuba316 / SABR_Volatility_Arbitrage
  A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model
  ☆24Updated 2 years ago
• davidzhou9 / DeepVol
  Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.
  ☆14Updated 5 years ago
• alexanderkudryashov3 / Crypto-Options
  Crypto-Options Volatility Surface Calibration and Arbitrage
  ☆14Updated 2 years ago
• Wenbo-G / NN-volatility-forecasting-review
  ☆17Updated 3 years ago
• rbeeli / dynamic_conditional_beta
  Modeling conditional betas with DCC-GARCH and COMFORT-DCC models with application in asset allocation.
  ☆16Updated 5 years ago
• yuba316 / Pair_Trading_with_Box_Tiao_Decomposition
  Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading
  ☆12Updated 2 years ago
• AdrienCss / OptionTrading
  Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.
  ☆26Updated last year
• tzhangwps / Turbulence-and-Systemic-Risk
  Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…
  ☆25Updated 4 months ago
• cvxgrp / cov_pred_finance
  ☆67Updated last week
• Herrsosa / Volatility-and-the-Equity-Risk-Premium
  ☆14Updated 6 years ago