sduprey Goto Github PK
Name: Stefan Duprey
Type: User
Location: France
Name: Stefan Duprey
Type: User
Location: France
My django web server
This repository contains a MATLAB application which will compute the Golden number decimals up to a specified precision. It uses infinite precision arithmetic and the Fibonacci sequence
We use here a linearized DSGE (dynamic stochastic general equilibrium) to model the United States economic macro-economy. We make forecast and backtest our model over 50 years.
This entry contains two topics The first item is entirely based on the following paper: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2011-056.pdf It contains 2 MATLAB demonstrating script : DATA_preprocessing.m & VAR_modeling_script.m DATA_preprocessing.m uses the LOBSTER framework (https://lobster.wiwi.hu-berlin.de/) to preprocess high frequency data from the NASDAQ Total View ITCH (csv files) allowing us to reconstruct exactly at each time the order book up to ten depths. Just look at the published script ! VAR_modeling_script.m contains the modeling of the whole order book as VEC/VAR process. It uses the great VAR/VEC Joahnsen cointegration framework. After calibrating your VAR model, you then assess the impact of an order using shock scenario (sensitivity analysis) to the VAR process. We deal with 3 scenarii : normal limit order, aggressive limit order & normal market order). Play section by section the script (to open up figures which contain a lot of graphs). It contains a power point to help you present this complex topic. The second item is entirely based on the following paper : http://www.courant.nyu.edu/~almgren/papers/optliq.pdf It contains a mupad document : symbolic_demo.mn I did struggle to get something nice with the symbolic toolbox. I was not able to drive a continuous workflow and had to recode some equations myself. I nevertheless managed to get a closed form solution for the simplified linear cost model. It contains a MATLAB demonstrating script : working_script.m For more sophisticated cost model, there is no more closed form and we there highlighted MATLAB numerical optimization abilities (fmincon). It contains an Optimization Apps you can install. Just launch the optimization with the default parameters. And then switch the slider between volatility risk and liquidation costs to see the trading strategies evolve on the efficient frontier. It contains a power point to help you present this complex topic.
This repository contains a MATLAB application which computes and searches through Pi digits a given sequence. You'll find files to compute Pi digits, to search through and also a nice GUI to input your given number sequence (maybe your birth date).
We optimize our portoflio using constrained 130/30 efficient frontier. The definition and backtesting of the strategy is done through a GUI and outputs a dynamic report to highlight the strategy (portfolio composition at each rebalancing dates, econometrics risk indicators).
various scala algorithms related to web & machine learning
Web docs
Retweeting witty quotes to news feed @wiseman_quoting
This projects aims at building different algorithms and assess their efficience when it comes to assess the toxicity of a link. This effort is directed to avoid getting penalyzed from google filters like Penguin. We here assess different predictive algorithms to learn over previously penalized links and properly classify new unknown links. We here feature bagged and boosted trees. More to come.
A declarative, efficient, and flexible JavaScript library for building user interfaces.
🖖 Vue.js is a progressive, incrementally-adoptable JavaScript framework for building UI on the web.
TypeScript is a superset of JavaScript that compiles to clean JavaScript output.
An Open Source Machine Learning Framework for Everyone
The Web framework for perfectionists with deadlines.
A PHP framework for web artisans
Bring data to life with SVG, Canvas and HTML. 📊📈🎉
JavaScript (JS) is a lightweight interpreted programming language with first-class functions.
Some thing interesting about web. New door for the world.
A server is a program made to process requests and deliver data to clients.
Machine learning is a way of modeling and interpreting data that allows a piece of software to respond intelligently.
Some thing interesting about visualization, use data art
Some thing interesting about game, make everyone happy.
We are working to build community through open source technology. NB: members must have two-factor auth.
Open source projects and samples from Microsoft.
Google ❤️ Open Source for everyone.
Alibaba Open Source for everyone
Data-Driven Documents codes.
China tencent open source team.