QuantLet/MPF-Electricity

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QuantLet/MPF-Electricity

QuantLet

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Codes for the paper "Multivariate probabilistic forecasting of electricity prices with trading applications" ( I Agakishiev, WK Härdle, M Kopa, K Kozmik, and A Petukhina

pyTSA

TENET

TENET: Tail-Event driven NETwork Risk

MLvsGARCH

Jupyter Notebook

MVA

Quantnet: MVA quantlets

TXT

Quantlets of textmining projects

SFE

Quantnet: SFE quantlets

DEDA_Class_2017

This repository is for DEDA class in 2017.

EmbeddingPortfolio

A repository for portfolio allocation based on embedding data representation

Jupyter Notebook

GrangerCausalityTestInQuantile

hedging_cc

Jupyter Notebook

DataGenerationForCausalInference

Generates synthetic data to apply simulations for causal inference

SVCJ

SDA_2020_NCTU

Jupyter Notebook

STF

Quantnet: STF quantlets

BitcoinPricingKernels

GANTimeSeries

This repository contains supplementary material for the talk GAN for Time Series

DEDA_class_SoSe2023

Jupyter Notebook

Quantlet

BCS

FittingElephant

SVCJ_MC

Jupyter Notebook

SPM

Quantnet: SPM quantlets

SIFI

XFG3

Q for Applied Quantitative Finance (3rd edition)

LETF-Moneyness

DEDA_Class_SS2018

Jupyter Notebook

CCP

Codes for replicating results in the research paper "Risk-based versus target-based portfolio strategies in the cryptocurrency market"

DEDA_class2019_SYSU

This is the SDA DEDA Class in SYSU Guangzhou

SDA_2021_St_Gallen

Jupyter Notebook

Blockchain_mechanism

This repository consists the codes that are used in the paper 'Blockchain mechanism and distributional characteristics of cryptos' published in 'Advances in Quantitative Analysis of Finance & Accounting (AQAFA)'

Jupyter Notebook

SVCJOptionApp

Final Thesis of Ivan Perez! R code used in the Master Thesis "Graphical User Interface for pricing Cryptocurrency Options under the SVCJ model"

OI_Crypto

Order Imbalances and Returns in Cryptocurrency Markets

SDA_2019_St_Gallen

TERES

TERES - Tail Event Risk Expectile based Shortfall

SVCJrw

SFE_class_2015

Code contributed by students in the SFE class WS 2015/2016

SPL_class_WS1617

DEDA-SoSe2021

Jupyter Notebook

MediaNews

Media News and Financial Market

XFG

Quantnet: XFG quantlets

Jump_tests

Collection of code for detection and modeling of jumps (WIP)

BLEM

Quantlets for Master Thesis of Michael Kostmann

GeoCopula

Spatial-temporal copula model for spatial-clustered data

CRIX_Cointegration

PyIntro

Introduction to Python (Crash Course)

Jupyter Notebook

exgb

Ensemble of XGB models with artificial features creation

SFS

Quantnet: SFS quantlets

PCA-in-an-Asymmetric-Norm

This is the application of TopDown, BottomUp and PrincipalExpectile algorithms to the Chinese weather data

Cryptocurrencies-and-Stablecoins-a-high-frequency-analysis

Repository for Cryptocurrencies and Stablecoins - a high frequency analysis

MVA-ToDo

Quantlets to update for MVA

Styleguide-and-FAQ

Includes the Styleguide and Frequently Asked Questions (FAQ)

cryptocollect

Collect data from different crypto exchanges & deribit option data and write them into a MongoDB. Triggered via 'start_ws.sh' to make sure the scripts keep running

Supervised-Randomization

Experiments showing the profit efficiency of targeted randomized sampling in comparison to standard A/B testing

COP

CSC_Dapps

Jupyter Notebook

RCVJ_Forecasting

SDA_2020_Giessen

Smart Data Analytics Course OCT 2020 Giessen

Jupyter Notebook

Shapley_Smoothing

NAR

Metcalfe_Law_and_LPPL_Crypto

Jupyter Notebook

network_BTC_exchanges

mvcaviar

Multivariate CAViaR with time varying parameter

NIC_class_2015

Numerical Introductory Course WS15/16 - Sample of codes provided by students

Hedging-Cryptos-with-Bitcoin-Futures

CRIXdeeplearning

Deep learning methods for cryptocurrencies price predictions

TEDAS

NextUnicorn

This folder contains 10 quantlets for the master thesis "Searching for a unicorn: A ML approach towards predicting startup success"

SPL

Codes provided by students of the course "Statistical programming languages"

Quantinar-Staking-Simulation

DEDA_Class_2019SS

Blockchain seminar

BitcoinOptions

Local_Quantile_Regression

Codes for Local Quantile Regression

TalesSentimentTails

Tales of Sentiment driven Tails

quantinar_nft

Issue NFTs on your Quantlets on www.quantinar.com

VCRIX

Volatility Index on the basis of CRIX (Master Thesis).

MSM

DEDA_Class_2019WS

DEDA class 2019 winter semester

DEDA_class_WS21

This repository is for Digital Economy and Data Analytics class of WS 2021/22

MSE

Quantnet: MSE quantlets

SPL_class_SS17

RobustM

DEDA-PY-INTRO

Jupyter Notebook

SDC

Smart Derivative Contracts

DEDA_2022_NYCU

The course open in 2022 at NYCU (National Yang Ming Chiao Tung University), where students can upload their projects here

Jupyter Notebook

Outcome-adaptive-Random-Forest

Non-parametric variable selection and inference via the outcome-adaptive Random Forest (OARF). Uses the IPTW estimator to estimate the ATE while the propensity score is estimated via OARF. This leads to smaller variance and bias. Only variables that are confounders or predictive of the outcome are selected for the propensity score.