dppalomar / sparseEigen
Computation of Sparse Eigenvectors of a Matrix
☆12Updated 6 years ago
Alternatives and similar repositories for sparseEigen:
Users that are interested in sparseEigen are comparing it to the libraries listed below
- 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
- An R Package for Monte Carlo Option Pricing Algorithm for Jump Diffusion Models with Correlational Companies☆27Updated 4 years ago
- An R interface to the ITCH Protocol☆18Updated 6 months ago
- R package for fitting the partially cointegrated model☆15Updated 2 years ago
- R Package for Fast and Stable Estimation of the Probability of Informed Trading (PIN)☆13Updated 2 years ago
- Updated repository containing datafeed and strategy☆12Updated 9 years ago
- R package for inference on the Sharpe ratio.☆19Updated 3 months ago
- Functions for the construction of risk-based portfolios☆51Updated 3 years ago
- R package for high frequency time series data management☆61Updated last week
- Functions, examples and data from the first and the second edition of "Numerical Methods and Optimization in Finance" by M. Gilli, D. Mar…☆37Updated last month
- Finance 6470: Derivatives Markets☆11Updated 3 years ago
- A fast, interactive, graphical-user-interface oriented software suite for predictive modeling, multivariate time series analysis, real-t…☆17Updated 8 years ago
- A scikit-learn compatible classifier to perform trade classification in Python.☆19Updated this week
- The Thalesians' LaTeX library☆11Updated last year
- ☆17Updated 3 years ago
- Modeling the allocation of resources to markets based on the restraints of objective functions☆14Updated 9 years ago
- Price response function and spread impact analysis in correlated financial markets☆15Updated 2 months ago
- Covariance Matrix Estimation via Factor Models☆32Updated 5 years ago
- MSGARCH R Package☆80Updated 2 years ago
- Imputation of Financial Time Series with Missing Values and/or Outliers☆25Updated 3 years ago
- Yield Curve Modeling Using Dynamic Gaussian Processes☆16Updated 2 years ago
- Demonstrations of how to use material in the Econ-ARK☆33Updated this week
- Development space for PhD in Finance☆33Updated 4 years ago
- Python Econometrics toolbox, requires NumPy☆26Updated 12 years ago
- ☆12Updated 2 years ago
- Digital Signal Processing Indicators For Market Data.☆31Updated 4 years ago
- The backtest package provides facilities for exploring portfolio-based conjectures about financial instruments (stocks, bonds, swaps, opt…☆20Updated 3 years ago
- Econometric Analysis of Explosive Time Series☆29Updated last year
- Simple wrapper for machine learning models in the context of lead-lag projection modelling.☆24Updated 6 years ago