Companion to publication "Understanding Jumps in High Frequency Digital Asset Markets". Contains scalable implementations of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy high frequency data
☆17May 6, 2024Updated last year
Alternatives and similar repositories for hf.econometrics
Users that are interested in hf.econometrics are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- 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
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆14Jan 21, 2022Updated 4 years ago
- High Frequency Jump Prediction Project☆38Jun 1, 2020Updated 5 years ago
- TradR.fun is a free and opensource cryptocurrency price signal prediction application.☆18Feb 15, 2026Updated last month
- My implementation of "Build a Stock-Tracking CLI with Async Streams in Rust" - The Actor Model☆10Sep 20, 2024Updated last year
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- Sentiment Analysis On Financial News Headlines With BERT & FinBERT☆13Feb 21, 2023Updated 3 years ago
- ☆38May 23, 2024Updated last year
- Implementation of the paper <Model-based Reinforcement Learning for Predictions and Control for Limit Order Books (Wei et al., J.P. Morga…☆11Aug 22, 2023Updated 2 years ago
- Treatment Effects in Interactive Fixed Effects Model☆17Feb 24, 2025Updated last year
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆38Mar 30, 2024Updated 2 years ago
- ☆11May 19, 2021Updated 4 years ago
- Python implementation of the Louvain method for community detection☆12Jul 4, 2017Updated 8 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Apr 24, 2023Updated 2 years ago
- Convert json descriptions of quant algorithms to verilog HDL.☆13Jul 3, 2020Updated 5 years ago
- NordVPN Special Discount Offer • AdSave on top-rated NordVPN 1 or 2-year plans with secure browsing, privacy protection, and support for for all major platforms.
- MV Port is a Python package to perform Mean-Variance Analysis. It provides a Portfolio class with a variety of methods to help on your po…☆11Feb 3, 2026Updated 2 months ago
- 🔥 [ICLR 2026] Official implementation of Recurrent Action Transformer with Memory, an offline RL agent with memory mechanisms. https://s…☆19Nov 23, 2025Updated 4 months ago
- Community detection on Hollywood actors using various models: Louvain, Clauset-Newman-Moore, GCN, GraphSage, and GAT.☆10Dec 11, 2019Updated 6 years ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆148Dec 11, 2022Updated 3 years ago
- A new GRU framework for stock price prediction. A new module similar to the attention mechanism and a module similar to the ResNet are ad…☆10Sep 4, 2019Updated 6 years ago
- transformer for time series☆11Jun 13, 2019Updated 6 years ago
- 使用中文情感词汇本体库进行情感分析，之后对每种情感的文本进行主题分析。Using Chinese Sentiment Dictionary for Sensitive Analysis, Then applying LDA Topic Analysis for each E…☆14Jan 20, 2021Updated 5 years ago
- An interesting research on the perspectival role of public news on look-through company's internal value☆13Nov 14, 2022Updated 3 years ago
- The Adaptive Multi-Factor (AMF) asset pricing model with the Groupwise Interpretable Basis Selection (GIBS) algorithm.☆10Dec 12, 2021Updated 4 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting with the flexibility to host WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Cloudways by DigitalOcean.
- replication of micro-price on crytocurrency data☆10Feb 27, 2022Updated 4 years ago
- We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cos…☆11Apr 8, 2020Updated 5 years ago
- Samson's MIT Master's Degree Thesis: "Multi-Agent Deep Reinforcement Learning and GAN-Based Market Simulation for Derivatives Pricing and…☆23Sep 8, 2023Updated 2 years ago
- Sparse regression of mixed-frequency VectorAutoregressions☆10May 11, 2022Updated 3 years ago
- Scala OrderBook Reconstructor for high-frequency order-flow data☆15Aug 27, 2023Updated 2 years ago
- ☆49Jul 22, 2020Updated 5 years ago
- 中文文本挖掘lda模型，gensim+jieba库☆17Jul 29, 2019Updated 6 years ago
- Order Book Imbalance trading strategy☆10Nov 21, 2022Updated 3 years ago
- Script for trade arbitrage opportunities between European-style options and Perpetual futures, with notifications in telegram☆10Jun 10, 2023Updated 2 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting with the flexibility to host WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Cloudways by DigitalOcean.
- An extension for the API of Binance (https://www.binance.com/)☆15Oct 11, 2021Updated 4 years ago
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆181Sep 28, 2019Updated 6 years ago
- Computing with Eigenvalue Distributions of Large Random Matrices of the Covariance Type☆15Feb 16, 2018Updated 8 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 9 years ago
- Zakamouline optimal delta hedging strategy python implementation.☆20Dec 11, 2022Updated 3 years ago
- We apply from rule-based approach to BERT for a sentiment analysis task on financial texts.☆15May 13, 2022Updated 3 years ago
- A fully connected neural network classifier with arbitrary number of hidden layers, different activation functions, etc..☆16Feb 10, 2019Updated 7 years ago