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 2 years ago
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☆116Updated 3 years ago
- Automated Backtesting of Portfolios over Multiple Datasets☆67Updated 3 years ago
- ☆55Updated 3 months ago
- Functions for the construction of risk-based portfolios☆54Updated 4 years ago
- Covariance Matrix Estimation via Factor Models☆37Updated 6 years ago
- R package for high frequency time series data management☆64Updated 5 months ago
- Website dedicated to a book on machine learning for factor investing☆235Updated 2 years ago
- R package for financial simulation☆54Updated 2 months ago
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆39Updated last year
- Material accompanying the MOSEK Portfolio Optimization Cookbook☆98Updated last year
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- Financial research data services for academics.☆98Updated 2 months ago
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆121Updated last month
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- ☆82Updated 3 years ago
- Probability of Backtest Overfitting☆48Updated 3 years ago
- This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …☆51Updated 7 years ago
- Pricing the Term Structure with Linear Regressions☆42Updated 7 years ago
- ☆81Updated 11 months ago
- An R package for forecasting volatility, using the Markov Switching Multifractal model.☆33Updated 8 years ago
- NYU Tandon lecture slides☆32Updated 4 months ago
- Realized Volatility Forecasting modeling☆17Updated 8 years ago
- blotter provides transaction infrastructure for defining transactions, portfolios and accounts for trading systems and simulation. Provid…☆118Updated 11 months ago
- A collection of scripts for modelling financial markets & options in R.☆61Updated 9 months ago
- ☆17Updated 4 years ago
- Code that I show on my YouTube Channel☆104Updated 2 years ago
- ☆302Updated 2 years ago
- Backtest asset allocation strategies in Python with only a background in pandas necessary☆48Updated 2 years ago
- MSGARCH R Package☆81Updated 2 years ago
- Code for the paper Volatility is (mostly) path-dependent☆69Updated last year