jonathancornelissen / highfrequencyLinks
The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to manage, clean and match highfrequency trades and quotes data. Furthermore, it enables users to: calculate easily various liquidity measures, estimate and forecast volatility, and investigate microstructure noise …
☆160Updated last year
Alternatives and similar repositories for highfrequency
Users that are interested in highfrequency are comparing it to the libraries listed below
Sorting:
- Design of Risk Parity Portfolios☆115Updated 2 years ago
- Covariance Matrix Estimation via Factor Models☆36Updated 6 years ago
- ☆52Updated 2 weeks ago
- Functions for the construction of risk-based portfolios☆53Updated 4 years ago
- R package for high frequency time series data management☆64Updated 3 months ago
- Website dedicated to a book on machine learning for factor investing☆229Updated 2 years ago
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆40Updated 10 months ago
- blotter provides transaction infrastructure for defining transactions, portfolios and accounts for trading systems and simulation. Provid…☆119Updated 8 months ago
- Material accompanying the MOSEK Portfolio Optimization Cookbook☆94Updated 11 months ago
- Automated Backtesting of Portfolios over Multiple Datasets☆65Updated 3 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 3 years ago
- Replication of key GARCH model papers☆34Updated 9 years ago
- ☆82Updated last week
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Financial research data services for academics.☆94Updated 7 months 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
- Pricing the Term Structure with Linear Regressions☆40Updated 7 years ago
- A collection of scripts for modelling financial markets & options in R.☆58Updated 7 months ago
- ☆76Updated 8 months ago
- ☆46Updated 9 years ago
- Probability of Backtest Overfitting☆49Updated 3 years ago
- Composite Indicators Framework for Business Cycle Analysis☆62Updated 3 years ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆117Updated 6 months ago
- An R package for forecasting volatility, using the Markov Switching Multifractal model.☆31Updated 8 years ago
- Book on backtesting strategies in R using blotter, quantstrat, FinancialInstruments, TTR packages☆110Updated 6 years ago
- ☆301Updated last year
- Code for the paper Volatility is (mostly) path-dependent☆66Updated last year
- NYU Tandon lecture slides☆32Updated 2 months ago
- ☆17Updated 3 years ago
- R package for financial simulation☆44Updated 2 months ago