LYYLM2019's repositories
DynamicNets.jl
Code for estimation of Large Dynamic Networks
Numerical-Methode-for-Finance
This project consists in the implementation of a Neural Network using TensorFlow in order to calibrate the SABR model. The final goal consists in predicting a volatility surface, as described in "Deep Learning Volatility" (2019).
HistoricalVolatility
A framework for historical volatility estimation and analysis.
DupireNN
Neural network local volatility with dupire formula
gar-connectedness-a-networks-approach
We investigate the connectedness of GDP growth risk over 12 OECD member countries. Understanding the Growth-at-Risk of GDP has been a popular area of discussion in recent years. Even more recently, it has been increasingly imperative to acknowledge GDP downside risk from the lower quantiles of its conditional distribution. Utilizing methods introduced by Adrian, Boyarchenko, and Giannone (2019), we observe the quantile dynamics of these 12 OECD member countries with respect to the vulnerability of GDP growth as a function of relative financial and economic conditions. Further, utilizing network estimation methods from Diebold and Yilmaz (2014), we find that network connectedness is stronger and more volatile at the 5th quantile compared to that at the 50th quantile, and that 5th quantile connectedness increases during the Financial Crisis of 2008. Finally, we decompose the country pairwise connectedness into explanatory channels, and find that along with trade and domestic financial conditions, foreign financial conditions are important in explaining the connectedness between two countries.
gbt7714-bibtex-style
GB/T 7714-2015 BibTeX Style
COVID-19-simulation
COVID-19 simulation via NetLogo and contagion study
-measuring-volatility-spillovers
Diebold & Yilmaz method, DCC-Garch method on composite indicies. 2009-2019
NIFTYnetwork
Analyzing the NIFTY stock market volatility using Network properties
AFE2020
Advanced Financial Econometrics - Trinity Term 2020
SystemicRisk
A framework for systemic risk valuation and analysis.
netdiffuseR
netdiffuseR: Analysis of Diffusion and Contagion Processes on Networks
Graph-Social-Contagion-with-NetworkX
Implemented a Social Contagion on a Realistic Graph in Python. The library used is NetworkX and the graph is the Bitcoin one
gets
R Package for General-to-Specific (GETS) modelling and Indicator Saturation (ISAT) methods
COVID-19
Novel Coronavirus (COVID-19) Cases, provided by JHU CSSE
pandas
Flexible and powerful data analysis / manipulation library for Python, providing labeled data structures similar to R data.frame objects, statistical functions, and much more
awesome-matlab
A curated list of awesome Matlab frameworks, libraries and software.
NetworkRiskMeasures
Implements risk measures for (financial) networks, such as DebtRank, Impact Susceptibility, Impact Diffusion and Impact Fluidity.
networkD3
D3 JavaScript Network Graphs from R
frequencyConnectedness
Spectral decomposition of spillover measures
DaDengAndHisPython
【微信公众号：大邓和他的python】, Python语法快速入门https://www.bilibili.com/video/av44384851 Python网络爬虫快速入门https://www.bilibili.com/video/av72010301, 我的联系邮箱thunderhit@qq.com
har2tree
Make a tree from a HAR file
t-VAR
Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2019) "Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach", Energy Economics.
SFE
Quantnet: SFE quantlets
ARCHModels.jl
A Julia package for estimating ARMA-GARCH models.
QuantFinanceBook
Quantitative Finance book