4 items found

Licenses: Academic Free License 3.0 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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    Dataset

    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...
  • Experiment

    Estimation of emissions from vehicles' GPS trajectories

    We used the mobility-emission methods (https://data.d4science.org/ctlg/ResourceCatalogue/mobility-emissions) to perform experiments on real GPS trajectories describing 433,272...
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