Stuart Baumann
I hold a PhD Economics from the University of Edinburgh. I work in London as a quantitative research in cash equities. I have done a few open source numerical mathematics packages mainly in fixed point acceleration and shape preserving splines.
Session
07-29
19:30
10min
HighFrequencyCovariance: Estimating Covariance Matrices in Julia
Stuart Baumann
High frequency data typically exhibit asynchronous trading and microstructure noise, which can bias the covariances estimated by standard estimators. While a number of specialised estimators have been developed, they have had limited availability in open source software. HighFrequencyCovariance is the first Julia package which implements specialised estimators for volatility, correlation and covariance using high frequency financial data.
Green