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Paolo Zagaglia


7 total contributions since 2011

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

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Contributions in
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Submitted


Option pricing package
Pricing functions for selected options with alternative methods

5 years ago | 19 downloads |

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

5 years ago | 1 download |

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

6 years ago | 1 download |

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

6 years ago | 5 downloads |

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

6 years ago | 4 downloads |

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

6 years ago | 0 downloads |

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

6 years ago | 24 downloads |

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