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1. hf.econometrics hf.econometrics Public

   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…

   R 16 9

2. icc.isvm icc.isvm Public

   This library serves as a companion to the publication "Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing". However it can also be used independently for clustering high dim…

   R 6 3

3. ml_case_study ml_case_study Public

   Machine Learning case study including an exploratory data analysis and fitting a Decision Tree, Random Forest, and XGBoost Model. Interactive notebook with outputs and visualizations: https://yalda…

   TeX 1