jirotubuyaki / Jdmbs
An R Package for Monte Carlo Option Pricing Algorithm for Jump Diffusion Models with Correlational Companies
☆28Updated 4 years ago
Related projects ⓘ
Alternatives and complementary repositories for Jdmbs
- Functions for the construction of risk-based portfolios☆51Updated 3 years ago
- Python Code for Meucci Related Blog Posts☆16Updated 8 years ago
- R package factorAnalytics developed during Google Summer of Code 2016☆24Updated 6 years ago
- This is a read-only mirror of the CRAN R package repository. PerformanceAnalytics — Econometric Tools for Performance and Risk Analysis…☆14Updated 4 years ago
- Forecasting Macroeconomic Parameters with Deep Learning Neural Networks - Final Year Peoject☆13Updated 6 years ago
- Development space for PhD in Finance☆33Updated 4 years ago
- Covariance Matrix Estimation via Factor Models☆33Updated 5 years ago
- R package for high frequency time series data management☆61Updated 3 weeks ago
- ☆41Updated 3 months ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆12Updated 6 years ago
- Implementation with a Jupyter Notebook of the VIX index modelization provided in its CBOE white paper.☆21Updated 5 years ago
- MSGARCH R Package☆81Updated last year
- Companion to publication "Understanding Jumps in High Frequency Digital Asset Markets". Contains scalable implementations of Lee / Myklan…☆16Updated 6 months ago
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆34Updated last month
- Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy hig…☆12Updated 2 years ago
- R Package for Fast and Stable Estimation of the Probability of Informed Trading (PIN)☆13Updated 2 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆24Updated 6 months ago
- Realized Volatility Forecasting modeling☆14Updated 7 years ago
- Factor Investing Library