ericroh Goto Github PK

448project

High Frequency Trading

baruch-mfe-lab

Baruch MFE program quant lab

bootcamp2017

Repository for OSM Lab Boot Camp 2017

empirical-asset-pricing

ericroh93.github.io

Hyunwoo's Blog

fiveminutestats

A repo of short "vignettes" illustrating statistical concepts

highfrequency

The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to manage, clean and match highfrequency trades and quotes data. Furthermore, it enables users to: calculate easily various liquidity measures, estimate and forecast volatility, and investigate microstructure noise and intraday periodicity.

imv_lstm

Pytorch implementation of "Exploring Interpretable LSTM Neural Networks over Multi-Variable Data" https://arxiv.org/pdf/1905.12034.pdf

kalman-and-bayesian-filters-in-python

Kalman Filter book using Jupyter Notebook. Focuses on building intuition and experience, not formal proofs. Includes Kalman filters,extended Kalman filters, unscented Kalman filters, particle filters, and more. All exercises include solutions.

market_microstructure_models

mth9831-stochastic-calculus

mth9879_market_microstructure

This repo contains projects for Spring2017 MTH9879 Market Microstructure course

persp-model-econ_w19

Course site for MACS 30150 (Winter 2019) - Perspectives on Computational Modeling for Economics

rethinking

Statistical Rethinking course and book package

sgx-full-orderbook-tick-data-trading-strategy

Providing the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Tick Data.

sit

Systematic Investor Toolkit

stat

stat

stocktrading

test

practice

timeseriesanalysiswithpython

tutorials

Ipython notebooks for math and finance tutorials