Paolo Zagaglia

自 2011 起处于活动状态

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I am working on market microstructure, investment strategies and robust portfolio allocation, which is a lot of fun.
Professional Interests: Applied econometrics, portfolio allocation, trading applications

统计学

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Option pricing package
Pricing functions for selected options with alternative methods

14 years 前 | 1 次下载 |

5.0 / 5

已提交

Estimation of alpha-stable distribution parameters using a quantile method
Parameter estimation for an alpha-stable distribution using the quantile method of McCulloch (1986).

14 years 前 | 1 次下载 |

0.0 / 5

已提交

Inverting VAR parameter into MA parameters
A function to invert vector autoregressive model parameters into moving average model parameters.

14 years 前 | 1 次下载 |

0.0 / 5

已提交

Probability of Informed Trading
This package allows to compute the probability of informed trading from bilateral trades.

14 years 前 | 1 次下载 |

5.0 / 5

已提交

A Trade Classification Algorithm from Market Quotes
This function computes the number of intradaily market trades that are buy- or sell-initiated.

14 years 前 | 1 次下载 |

0.0 / 5

已提交

Optimal Monetary Policy under Discretion
This package computes optimal monetary policy under discretion in a rational-expectations model.

14 years 前 | 1 次下载 |

0.0 / 5

已提交

A small structural VAR package for impulse response analysis
This package computes impulse responses with Monte-Carlo confidence bands for a structural VAR.

14 years 前 | 2 次下载 |

4.6 / 5