compfinezbook / ECON424Links
Computational Finance And Financial Econometrics - This course is an introduction to computational finance and financial econometrics - data science applied to finance. The course covers computer programming and data analysis in R, econometrics (statistical analysis), financial economics, microeconomics, mathematical optimization, and probabilit…
☆12Updated 4 years ago
Alternatives and similar repositories for ECON424
Users that are interested in ECON424 are comparing it to the libraries listed below
Sorting:
- Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm.☆18Updated last year
- Code for "Methodological Uncertainty in Portfolio Sorts".☆20Updated last year
- A repository to explore the concepts of applied econometrics in the context of financial time-series.☆40Updated 5 years ago
- Notebook and assignment for Coursera course: Introduction to Computational Finance and Financial Econometrics by Eric Zivot☆11Updated 7 years ago
- Option Pricing with Machine Learning Methods☆14Updated last year
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆13Updated 4 years ago
- Python modules for time-series analysis and empirical asset pricing.☆18Updated 5 years ago
- Covariance Matrix Estimation via Factor Models☆36Updated 6 years ago
- Advanced Financial Econometrics - Trinity Term 2020☆31Updated 4 years ago
- Code to quickly process and generate various data from the intraday TRACE corporate bond data from WRDS.☆52Updated last year
- ☆24Updated 3 years ago
- Replication of momentum strategy☆18Updated 3 years ago
- ☆23Updated 8 years ago
- ☆40Updated 6 years ago
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆24Updated 4 months ago
- These are notes for macroeconomic analysis, summarised in past years for macro trading/analysis.☆30Updated 3 years ago
- ☆22Updated 3 years ago
- Calculates 103 firm characteristics from CRSP + Compustat directly in Python – no WRDS SAS cloud☆35Updated 2 years ago
- Example code of simple things one can do with our open-source asset pricing data☆54Updated last year
- ☆28Updated 3 months ago
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆40Updated last year
- Macro with Python☆54Updated 4 years ago
- This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …☆50Updated 7 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆43Updated 4 years ago
- This R Shiny App utilizes the Hierarchical Equal Risk Contribution (HERC) approach, a modern portfolio optimization method developed by R…☆14Updated last year
- PhD 403: Empirical Asset Pricing☆27Updated 6 years ago
- This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …☆27Updated 2 years ago
- Vector Autoregression augmented with deep learning.☆17Updated last year
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆43Updated last year
- Key: time series analysis, forecasting of GDP growth, macroeconomic, Kalman-filtering techniques, and a dynamic factor model.☆15Updated 5 years ago