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1. Kernel_Learning Kernel_Learning Public

   Inference in Multiple Kernel Support Vector Machines Applied to High Frequency Quotes

   Jupyter Notebook 2

2. HMM_LOB_Inference HMM_LOB_Inference Public

   Statistical Inference of Hidden Markov Models on High Frequency Quote Data

   Jupyter Notebook 1

3. Split_Bregman_MPT Split_Bregman_MPT Public

   Application of the Split Bregman Algorithm to a Markowitz Portfolio Construction with Elastic Net Penalty

   Jupyter Notebook 3

4. ARC_Model ARC_Model Public

   AutoRegressive Conditional Frechet Model with Time-Varying Coefficients

   Jupyter Notebook 3