This is my personal website code
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Updated
May 25, 2024 - HTML
This is my personal website code
ARCH models in Python
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
SMARTboost (boosting of smooth symmetric regression trees)
Hurst exponent evaluation and R/S-analysis in Python
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.
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.
Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"
SMARTboost (boosting of smooth symmetric regression trees)
Code and documents from Econ 690 at Duke
Code for the paper "Realized Semi(Co)Variation: Signs that All Volatilities are Not Created Equal"
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 skl…
This is a project replicating the result of John Cochrane's famous paper about return's predictability (https://www.jstor.org/stable/40056861)
My project (in R) about analyzing the effect of the first COVID-19 outbreak to the Vietnam's stock market.
This repository includes different R scripts (with the data used) for the study and application of different topics from the study of Econometrics.
Bayesian inference for Generalized Autoregressive Score models.
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