khrapovs

Full stack Data Scientist. PhD in financial econometrics from University of North Carolina at Chapel Hill. Running enthusiast

m2hyconFrankfurt am Main, Germany

Pinned Repositories

bekk
Estimate parameters of BEKK model
Language:Python9 4 07
dataanalysispython
Data Analysis in Python
Language:Jupyter Notebook10 3 015
diffusions
Simulation and estimation of Stochastic Diffusion models
Language:Python1 3 01
fangoosterlee
Price options analytically given stock price characteristic function
Language:Python15 2 08
finmetrix
FinMetrix Examples
Language:Jupyter Notebook5 3 02
impvol
Find Black-Scholes implied volatility
Language:Python21 2 09
mygmm
My own implementation of the GMM estimator.
Language:Python4 2 02
OrderBookMatchingEngine
Simple Python implementation of order book matching engine
Language:Python3 1 20
rndensity
Risk-neutral density-density based option pricing
Language:Python8 2 05
vix
Compute VIX and related volatility indices
Language:Jupyter Notebook101 7 234

khrapovs's Repositories

khrapovs/vix
Compute VIX and related volatility indices
Language:Jupyter Notebook101 7 234
khrapovs/impvol
Find Black-Scholes implied volatility
Language:Python21 2 09
khrapovs/fangoosterlee
Price options analytically given stock price characteristic function
Language:Python15 2 08
khrapovs/dataanalysispython
Data Analysis in Python
Language:Jupyter Notebook10 3 015
khrapovs/bekk
Estimate parameters of BEKK model
Language:Python9 4 07
khrapovs/rndensity
Risk-neutral density-density based option pricing
Language:Python8 2 05
khrapovs/finmetrix
FinMetrix Examples
Language:Jupyter Notebook5 3 02
khrapovs/mygmm
My own implementation of the GMM estimator.
Language:Python4 2 02
khrapovs/multivol
Model of multivariate volatility
Language:Python3 3 0
khrapovs/OrderBookMatchingEngine
Simple Python implementation of order book matching engine
Language:Python3 1 20
khrapovs/adventofcode2022
My take on https://adventofcode.com/2022/
Language:Python1 1 0
khrapovs/cython_blas_lapack
Linear algebra in Cython
Language:Python1
khrapovs/data-to-slides-with-dvc
From raw data to management slides with DVC
Language:Jupyter Notebook1
khrapovs/diffusions
Simulation and estimation of Stochastic Diffusion models
Language:Python1 3 01
khrapovs/functime
Time-series machine learning at scale. Built with Polars for embarrassingly parallel feature extraction and forecasts on panel data.
Language:Python1 0 01
khrapovs/multidensity
Multivariate Densities
Language:Python1 2 03
khrapovs/sobol
Sobol pseudo-random number generator
Language:Python1 2 01
khrapovs/metrix
Econometrics Examples
Language:Jupyter Notebook0 2 02
khrapovs/banshee-export
Language:Python1 0
khrapovs/codewars
Code Wars
Language:C++1 0
khrapovs/datastorage
A collection of functions to pull variaous data for my financial econometrics research.
Language:Python2 0
khrapovs/enhancement-proposals
sktime enhancement proposals
Language:Jupyter Notebook
khrapovs/famamcbeth
Fama-McBeth regressions
Language:Jupyter Notebook3 01
khrapovs/hcl-model
Simple time series forecasting based on multiple linear regression
Language:Python2 11
khrapovs/khrapovs
2 0
khrapovs/khrapovs.github.io
Language:JavaScript2 0
khrapovs/playing-with-uci-bike-sharing-data
Playing with UCI Bike Sharing Data
Language:Jupyter Notebook2 0
khrapovs/python-package-template
Python Package Template
Language:Python1 0
khrapovs/sktime-dev-days-2022-presentation
Language:Jupyter Notebook1 0
khrapovs/udemy-cpp
Coding Exercises from "Beginning C++ Programming - From Beginner to Beyond"
Language:C++1 0