financial-econometrics
There are 1 repository under financial-econometrics topic.
- Language:Python 1252
- Language:Python 276
asaficontact / FX_forecasting_model
Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"
Language:Python 22YalDan / hf.econometrics
Companion to publication "Understanding Jumps in High Frequency Digital Asset Markets". Contains scalable implementations of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy high frequency data
Language:R 13PaoloGiordani / SMARTboost.jl
SMARTboost (boosting of smooth symmetric regression trees)
Language:Julia 12In this project, I explore various machine learning techniques including Principal Component Analysis (PCA), Support Vector Machines (SVM), Artificial Neural Networks (ANN), and Sentiment Analysis in an effort to predict the directional changes in exchange rates for a list of developed and developing countries.
neural-networkssentiment-analysistf-idfcosine-similarityvader-sentiment-analysistextblob-sentiment-analysisobject-oriented-programmingexchange-ratesexchange-rates-forecastingfinancial-econometricsfinancial-economicsasset-pricingforexforex-predictioncarry-tradeshinyappslatexsupport-vector-machinesprincipal-component-analysisnews-articlesLanguage:TeX 8SakethAleti / ECON-690-HighFrequencyEconometrics
Code and documents from Econ 690 at Duke
Language:Jupyter Notebook 7Code for the paper "Realized Semi(Co)Variation: Signs that All Volatilities are Not Created Equal"
Language:Jupyter Notebook 5tunglinhpham / EventStudy_Covid19VN
My project (in R) about analyzing the effect of the first COVID-19 outbreak to the Vietnam's stock market.
Language:R 3robinniesert / BayesianGAS
Bayesian inference for Generalized Autoregressive Score models.
Language:C++ 2This is a project replicating the result of John Cochrane's famous paper about return's predictability (https://www.jstor.org/stable/40056861)
Language:R 2jacobo-campo / Econometrics-in-R
This repository includes different R scripts (with the data used) for the study and application of different topics from the study of Econometrics.
Language:R 1neilyejjey1999 / yejjeyprojects
Coding projects I have worked on, in R and Python. Predominantly includes utilizing code to recreate the Black Sholes Model, Greek Option calculator, Stochastic Process and Brownian Motion and other data science applications for finance. Python was also used primarily for machine learning applications in finance, using various functions from sklearn, random forests, among others to perform predictive analysis on data such as forecasting bitcoin prices, predicting loan default probability, and building neural networks with TensorFlow. R project involves importing datasets from excel as well as using R functions to relabel and tweak datasets that were initially incompatible. R was predominantly used to perform econometric analysis of data as well as basic statistical functions like finding P value and T value.
Language:Jupyter Notebook 1SMARTboost (boosting of smooth symmetric regression trees)
ahoundetoungan / ahoundetoungan.github.io
This is my personal website code
Language:HTML 0misacodes / speculative_bubbles_in_ethereum
This repo contains a compiled dataset of Ethereum prices and R code for the detection of speculative bubbles using backward supremum augmented Dickey-Fuller procedure.
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