CHNPAT005

Pinned Repositories

PC-FIE
Patrick Chang's Masters project supervised by Tim Gebbie and Etienne Pienaar working on Fourier instantaneous estimators to investigate the Epps effect.
10
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:Julia20
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:TeX31
PCEPTG-MSC
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:Julia1 3 00
PCIJAPTG-A2XvsJSE
Comparing the market structure between the JSE and the A2X exchange in the South African market
Language:Julia1 1 00
PCRBTG-VT
Investigating the Epps effect under different definitions of time.
Language:Julia20
IJPCTG-HawkesCoinTossX
Point process market simulation using the CoinTossX matching engine.
Language:Julia4 1 01
Exploring-The-Epps-Effect-R
A research project undertaken in the Department of Statistical Sciences a the University of Cape Town
Language:R62

CHNPAT005's Repositories

CHNPAT005/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:TeX31
CHNPAT005/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:Julia20
CHNPAT005/PCRBTG-VT
Investigating the Epps effect under different definitions of time.
Language:Julia20
CHNPAT005/PC-FIE
Patrick Chang's Masters project supervised by Tim Gebbie and Etienne Pienaar working on Fourier instantaneous estimators to investigate the Epps effect.
10
CHNPAT005/PCEPTG-MSC
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:Julia1 3 00
CHNPAT005/PCIJAPTG-A2XvsJSE
Comparing the market structure between the JSE and the A2X exchange in the South African market
Language:Julia1 1 00