Beast code in Giters

Patrick Chang's repositories

PCEPTG-MM-NUFFT

Patrick Chang's Masters project supervised by Tim Gebbie and Etienne Pienaar working on a Non-Uniform Fast Fourier Transform for the Malliavin-Mancino estimator.

Language:TeX300

PCEPTG-EC

Patrick Chang's Masters project supervised by Tim Gebbie and Etienne Pienaar working on discriminating between samples from correlated continuous and discrete random events

Language:Julia200

PCRBTG-VT

Investigating the Epps effect under different definitions of time.

Language:Julia200

PC-FIE

Patrick Chang's Masters project supervised by Tim Gebbie and Etienne Pienaar working on Fourier instantaneous estimators to investigate the Epps effect.

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Patrick Chang's Masters dissertation supervised by Tim Gebbie and Etienne Pienaar working on building a suit of fast integrated and instantaneous volatility/co-volatility estimators. Additionally, we investigate the correlation dynamics at ultra-high frequency to determine if correlations are an emerging property.

Language:Julia100

PCIJAPTG-A2XvsJSE

Comparing the market structure between the JSE and the A2X exchange in the South African market

Language:Julia1 10