Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy high frequency data
☆14Jan 21, 2022Updated 4 years ago
Alternatives and similar repositories for JumpDetectR
Users that are interested in JumpDetectR are comparing it to the libraries listed below
Sorting:
- Companion to publication "Understanding Jumps in High Frequency Digital Asset Markets". Contains scalable implementations of Lee / Myklan…☆17May 6, 2024Updated last year
- Sparse regression of mixed-frequency VectorAutoregressions☆10May 11, 2022Updated 3 years ago
- Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.☆10Jan 15, 2018Updated 8 years ago
- Quantile Local Projections☆12Aug 8, 2022Updated 3 years ago
- This repository contains the codes for the paper "Machine-Learning-enhanced Systemic Risk Measure: A Two-Step Supervised Learning Approac…☆14Jul 18, 2022Updated 3 years ago
- Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), introduced by F Corsi (2009).☆12Sep 18, 2020Updated 5 years ago
- Parametric estimation of multivariate Hawkes processes with general kernels.☆14May 27, 2024Updated last year
- Granger causality testing in High Dimensional Vector Autoregressive Models☆16May 20, 2024Updated last year
- ☆11Jan 26, 2025Updated last year
- R wrapper for nowcast_lstm Python library. Long short-term memory neural networks for economic nowcasting.☆13May 2, 2024Updated last year
- Inference for Gaussian copula factor models and its application to causal discovery.☆15Feb 11, 2020Updated 6 years ago
- An implementation of the `gets` package for Panel Models to use indicator saturation☆15Jan 13, 2026Updated last month
- Modelling extreme values☆15Dec 11, 2025Updated 2 months ago
- For code and snippets for STA 2536: Data Science for Risk Modeling☆14Nov 21, 2021Updated 4 years ago
- Testing for bubbles with R☆21Oct 19, 2019Updated 6 years ago
- Reproduce the result of the paper "Deep Learning with Long Short-Term Memory Networks for Financial Market Prediction"☆19Aug 21, 2020Updated 5 years ago
- Hawkes with Latency☆20Jan 16, 2021Updated 5 years ago
- Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…☆19Feb 18, 2021Updated 5 years ago
- Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performa…☆18Sep 11, 2020Updated 5 years ago
- Machine Learning in Asset Management☆20Jul 18, 2019Updated 6 years ago
- Pairs Trading in Python☆26Apr 25, 2021Updated 4 years ago
- SABR Implied volatility asymptotics☆25May 22, 2020Updated 5 years ago
- I built a real-time streaming data pipeline using kafka, consuming deribit-api-v2 limit order book prices 📈 and transforming them into …☆24Aug 10, 2022Updated 3 years ago
- For Chinese comments, the Finbert model was used to conduct polarity analysis and predict stock price rise☆24Dec 26, 2020Updated 5 years ago
- CoVaR estimation via quantile regression☆28Jan 30, 2018Updated 8 years ago
- ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.☆29Jan 28, 2021Updated 5 years ago
- ☆28Feb 24, 2022Updated 4 years ago
- ☆37May 23, 2024Updated last year
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆30May 23, 2023Updated 2 years ago
- Implements risk measures for (financial) networks, such as DebtRank, Impact Susceptibility, Impact Diffusion and Impact Fluidity.☆76Mar 5, 2020Updated 5 years ago
- Set of templates and themes to apply CMAP graphics standards to R products.☆15Nov 26, 2025Updated 3 months ago
- This project explores stock trading modelling with the use recurrent neural network (RNN) with long-short term memory (LSTM) architecture…☆28Apr 12, 2019Updated 6 years ago
- S&P100 stocks analysis via Graph Neural Networks (Forecasting, Clustering, Trend classification, Stocks ranking for optimal stock picking…☆53May 16, 2024Updated last year
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆36Feb 15, 2022Updated 4 years ago
- Open source High-Frequency Trading Order Book with FPGA Acceleration☆64Jan 26, 2025Updated last year
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Apr 14, 2016Updated 9 years ago
- ☆10Nov 18, 2024Updated last year
- TVP VAR Workshop☆15Feb 26, 2020Updated 6 years ago
- MATLAB code for pricing financial derivatives. Uses finite-difference methods to solve a modified version of the Black Scholes equation. …☆12Jun 11, 2018Updated 7 years ago