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 …
☆156Updated last year
Alternatives and similar repositories for highfrequency
Users that are interested in highfrequency are comparing it to the libraries listed below
Sorting:
- ☆48Updated this week
- ☆72Updated 6 months ago
- Design of Risk Parity Portfolios☆113Updated 2 years ago
- Covariance Matrix Estimation via Factor Models☆35Updated 6 years ago
- MSGARCH R Package☆80Updated 2 years ago
- ☆78Updated 4 months ago
- R package for high frequency time series data management☆62Updated last month
- Automated Backtesting of Portfolios over Multiple Datasets☆63Updated 3 years ago
- Pricing the Term Structure with Linear Regressions☆37Updated 7 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Realized Volatility Forecasting modeling☆16Updated 8 years ago
- blotter provides transaction infrastructure for defining transactions, portfolios and accounts for trading systems and simulation. Provid…☆119Updated 6 months ago
- Functions for the construction of risk-based portfolios☆52Updated 4 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆166Updated last month
- Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices☆114Updated 4 months ago
- ☆82Updated 2 years ago
- Website dedicated to a book on machine learning for factor investing☆226Updated last year
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆62Updated 2 years ago
- ☆45Updated 9 years ago
- This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …☆50Updated 6 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 8 months ago
- Simple Risk Premia Strategy☆36Updated 4 years ago
- Replication of key GARCH model papers☆35Updated 9 years ago
- Code for the paper Volatility is (mostly) path-dependent☆62Updated last year
- ☆93Updated last month
- Material accompanying the MOSEK Portfolio Optimization Cookbook☆90Updated 9 months ago
- A collection of scripts for modelling financial markets & options in R.☆55Updated 5 months ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- ☆300Updated last year
- Probability of Backtest Overfitting☆49Updated 3 years ago