Paolo Zagaglia
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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
Statistics
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Feeds
Submitted
Option pricing package
Pricing functions for selected options with alternative methods
12 years ago | 6 downloads |
Submitted
Estimation of alpha-stable distribution parameters using a quantile method
Parameter estimation for an alpha-stable distribution using the quantile method of McCulloch (1986).
12 years ago | 3 downloads |
Submitted
Inverting VAR parameter into MA parameters
A function to invert vector autoregressive model parameters into moving average model parameters.
12 years ago | 1 download |
Submitted
Probability of Informed Trading
This package allows to compute the probability of informed trading from bilateral trades.
12 years ago | 2 downloads |
Submitted
A Trade Classification Algorithm from Market Quotes
This function computes the number of intradaily market trades that are buy- or sell-initiated.
12 years ago | 1 download |
Submitted
Optimal Monetary Policy under Discretion
This package computes optimal monetary policy under discretion in a rational-expectations model.
12 years ago | 3 downloads |
Submitted
A small structural VAR package for impulse response analysis
This package computes impulse responses with Monte-Carlo confidence bands for a structural VAR.
12 years ago | 8 downloads |