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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... -
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.... -
Private Simulated limit order book dynamics
The dataset contains detailed simulations of the limit order book dynamics of financial assets. The data are calibrated on stocks of Nasdaq and contains all the events... -
Frank Experiments
Dataset with experimental results for the "Frank" hybrid decision-making system, with simulated users. Features: - CA. Co-evolutionary Accuracy. Accuracy reached by the user...-
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Private Epidemics Simulation Recovery
The computation of Graph Epidemics Simulation Recovery performs a simulation of SEIR (Susceptible, Exposed, Infectious, Recovered) dynamics on a graph using the shortest path...
