Discover @YalDan Open Source projects

@YalDan

YalDan

Stars
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Global Rank 412,533 (Top 15 %)
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Registered almost 7 years ago
Most used languages

R
75.0 %

TeX
25.0 %
Location 🇩🇪 Germany
Country Total Rank 22,796
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R
203

TeX
2,037

hf.econometrics

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 / Li (2012) Jump tests for noisy high frequency data

JumpDetectR

Scalable implementation of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy high frequency data

icc.isvm

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 dimensional datasets and fitting an implied stochastic volatility model.

ml_case_study

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://yaldan.github.io/ml_case_study/