financial-econometrics
There are 17 repositories under financial-econometrics topic.
bashtage/arch
ARCH models in Python
Mottl/hurst
Hurst exponent evaluation and R/S-analysis in Python
asaficontact/FX_forecasting_model
Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"
YalDan/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
PaoloGiordani/SMARTboost.jl
SMARTboost (boosting of smooth symmetric regression trees)
asaficontact/learning_to_beat_the_random_walk
In 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.
SakethAleti/ECON-690-HighFrequencyEconometrics
Code and documents from Econ 690 at Duke
SakethAleti/PresAddress-SoFiE2021
Code for the paper "Realized Semi(Co)Variation: Signs that All Volatilities are Not Created Equal"
tunglinhpham/EventStudy_Covid19VN
My project (in R) about analyzing the effect of the first COVID-19 outbreak to the Vietnam's stock market.
robinniesert/BayesianGAS
Bayesian inference for Generalized Autoregressive Score models.
donQuiote/FIN-407-Project
Find the best characteristics using various models to best predict the future returns
jacobo-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.
neilyejjey1999/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.
PaoloGiordani/SMARTboost
SMARTboost (boosting of smooth symmetric regression trees)
tunglinhpham/JCochrane_dog_did_not_bark
This is a project replicating the result of John Cochrane's famous paper about return's predictability (https://www.jstor.org/stable/40056861)
ahoundetoungan/ahoundetoungan.github.io
This is my personal website code
misacodes/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.