2 items found

Organisations: SoBigData Services and Products Availability: On-Line Groups: Demography, Economy and Finance 2.0 Tags: Simulation

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  • Method

    Online Learning of Order Flow and Market Impact (OLOFMI)

    This library performs regime detection in the aggregated order flow time-series and market impact analysis. The required input file is in the format of the message file of the...
  • Method

    Score-Driven Bayesian Online Change Point Detection (SD-BOCPD)

    This code deals with Bayesian online detection in univariate time-series of changepoints, i.e. abrupt variations in the generative parameters of a data, and regimes, i.e....
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