A framework for financial systemic risk valuation and analysis.

A framework for historical volatility estimation and analysis.

Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.

Testing for bubbles with R

A framework for detecting misreported returns in hedge funds.

Computational data tools for financial economics. Keywords: Jupyter notebook pandas Federal Reserve FRED Ferbus GDP CPI PCE inflation unemployment wage income debt Case-Shiller housing asset portfolio equities SPX bonds TIPS rates currency FX euro EUR USD JPY yen XAU gold Brent WTI oil Holt-Winters time-series forecasting statistics econometrics

This is a model that has been trained on historical data obtained from Yahoo Finance. The data set comprises of all data records starting from the launch date of this stock in India (1996). This model aims to pick up key trends in the stock price fluctuations based on Time Series mapping. It is able to render predictions for the upcoming time pe…

Predictive Modelling of Time Series Data using LSTM RNNs

Research Project on "Time Series Analysis and Forecasting"

A non-commercial research project - time series analysis for GDP and consumption in Austria (1970-2020)

Annual Copper Prices data from the year 1800 to 1997 was downloaded from the time series data library created by Rob Hyndman. I aim to analyse this uni-variate time series data and fit an ARIMA model to it.

Autoregressor: simple and robust time series model selection

Building a vector autoregressive model with R. My coursework for the course Time Series Analysis II (offered by University of Helsinki's Master's Programme in Mathematics and Statistics), spring 2020.

Code lines to download the updated list of R packages I've used.