emilsjoerup Goto Github PK
Name: Emil sjørup
Type: User
Bio: Market making and automation.
Location: Brussels, Belgium
Emil sjørup's Projects
dang
A collection of utility functions for R
driftbursthypothesis
Calculates the Test-Statistic for the Drift Burst Hypothesis of Christensen, Oomen and Renò (2018) <DOI:10.2139/ssrn.2842535>.
harmodel
An implementation of the Heterogeneous AutoRegressive model from Corsi(2009)
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.
mkl4deb
Adding the Intel MKL to a Debian / Ubuntu system via one simple script
xts
Extensible time series class that provides uniform handling of many R time series classes by extending zoo.
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