monty-se / PINstimation
A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992) and Easley et al. (1996); Multilayer PIN (MPIN) in Ersan (2016); Adjusted PIN (AdjPIN) in Duarte and Young (2009); and volume-synchronized PIN (VPIN) in Easley et al. (2011, 2012). Implementations of various …
☆37Updated 5 months ago
Alternatives and similar repositories for PINstimation:
Users that are interested in PINstimation are comparing it to the libraries listed below
- This course, taught by Prof.Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading), …☆48Updated 6 years ago
- Realized Volatility Forecasting modeling☆14Updated 7 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆18Updated 3 years ago
- ☆44Updated 7 months ago
- ☆28Updated 4 years ago
- Covariance Matrix Estimation via Factor Models☆32Updated 6 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆24Updated 4 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆30Updated 2 years ago
- Functions for the construction of risk-based portfolios☆51Updated 3 years ago
- Replication of https://ssrn.com/abstract=3984925☆31Updated 11 months ago
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆21Updated 4 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- ☆25Updated last month
- A dynamic factor model to nowcast quarterly GDP using many high-frequency series. Implemented in Python☆26Updated 3 years ago
- Option Volatility and Pricing Models.☆12Updated last month
- Code for "Methodological Uncertainty in Portfolio Sorts".☆17Updated 9 months ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆14Updated 4 years ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading)…☆13Updated 6 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆38Updated 4 years ago
- R package AssetAllocation☆34Updated last year
- Python Package: Fitting and Forecasting the yield curve☆36Updated 4 years ago
- Pricing the Term Structure with Linear Regressions☆37Updated 7 years ago
- ☆22Updated 2 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated last month
- Multivariate GARCH Models☆14Updated 2 months ago
- Accompaniment to nowcasting benchmark paper, illustrating how to estimate each of the methods examined in either R or Python.☆44Updated last year
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆62Updated 2 weeks ago
- Replication of momentum strategy☆18Updated 2 years ago
- ☆15Updated 2 years ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆39Updated 3 years ago