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abidesmarkets.jl

Julia wrapper for ABIDES-Markets

annealed_flow_transport

cemicrodata.jl

Pull data from the Consumer Expenditure (CE) Public Use Microdata (PUMD) into Julia

limitorderbookabc.jl

ltcc-advanced-computational-methods-in-statistics

Advanced LTCC course in Statistics - This course will provide an overview of Monte Carlo methods when used for problems in Statistics. After an introduction to simulation, its purpose and challenges, we will cover in more detail Importance Sampling, Markov Chain Monte Carlo and Sequential Monte Carlo. Whilst the main focus will be on the methodology and its relevance to applications, we will often mention relevant theoretical results and their importance for problems in practice.

messytimeseries.jl

A Julia implementation of basic tools for time series analysis compatible with incomplete data.

messytimeseriesoptim.jl

A Julia implementation of estimation and validation algorithms for time series compatible with incomplete data.

metaprogramming_juliacon_2021

replication-hasenzagl-et-al-2020

Replication code for "A Model of the Fed's View on Inflation".

replication-pellegrino-2022-ensembles

replication-pellegrino-2022-hyperparameters

Elastic-net VARMA: hyperparameter optimisation, estimation and forecasting

stat-nlp-book

Interactive Lecture Notes, Slides and Exercises for Statistical NLP