chris zhang

Last seen: quasi 5 anni fa | Attivo dal 2016

Followers: 1 Following: 0

Messaggio

quantitative finance
market microstructure
liquidity & volatility
high-frequency and algorithmic trading
jump-diffusion model
risk modelling and management

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StrategicRuns_v2
demo for Hasbrouck and Saar (2013) strategic run algorithm, more updates to come

oltre 7 anni fa | 12 download |

0.0 / 5

Inviato

Pairs Trading Strategy GGR (2006)
pairs trading

circa 10 anni fa | 357 download |

0.0 / 5

Inviato

Matlab Thomson Reuters Tick History (TRTH) system API setup
TRTHAPI

circa 10 anni fa | 77 download |

5.0 / 5

Inviato

Bollerslev, Todorov & Li (2013) intraday jump detection algorithm
BTL2013intradayjump

circa 10 anni fa | 141 download |

4.33333 / 5

Inviato

Boudt et al (2011) intraday jump detection algorithms
BOUDT(2011)

circa 10 anni fa | 159 download |

4.7 / 5

Inviato

Barndorff-Nielsen & Shephard (2004, 2006) daily jump detection realized measures
BNS2006jump

circa 10 anni fa | 257 download |

0.0 / 5

Inviato

convert TRTH equity data into struct data
data2struct

circa 10 anni fa | 46 download |

0.0 / 5

Inviato

high frequency tick cleaning algorithms
tick cleaning

circa 10 anni fa | 143 download |

0.0 / 5