calculus - High Dimensional Numerical and Symbolic Calculus

Efficient C++ optimized functions for numerical and symbolic calculus as described in Guidotti (2022) <doi:10.18637/jss.v104.i05>. It includes basic arithmetic, tensor calculus, Einstein summing convention, fast computation of the Levi-Civita symbol and generalized Kronecker delta, Taylor series expansion, multivariate Hermite polynomials, high-order derivatives, ordinary differential equations, differential operators (Gradient, Jacobian, Hessian, Divergence, Curl, Laplacian) and numerical integration in arbitrary orthogonal coordinate systems: cartesian, polar, spherical, cylindrical, parabolic or user defined by custom scale factors.

Last updated 2 years ago

calculuscoordinate-systemscurldivergenceeinsteinfinite-differencegradienthermitehessianjacobianlaplaciannumerical-derivationnumerical-derivativesnumerical-differentiationsymbolic-computationsymbolic-differentiationtaylorcpp

8.98 score 47 stars 7 dependents 66 scripts 2.1k downloads

bidask - Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices

Implements the efficient estimator of bid-ask spreads from open, high, low, and close prices described in Ardia, Guidotti, & Kroencke (JFE, 2024) <doi:10.1016/j.jfineco.2024.103916>. It also provides an implementation of the estimators described in Roll (JF, 1984) <doi:10.1111/j.1540-6261.1984.tb03897.x>, Corwin & Schultz (JF, 2012) <doi:10.1111/j.1540-6261.2012.01729.x>, and Abdi & Ranaldo (RFS, 2017) <doi:10.1093/rfs/hhx084>.

Last updated 1 months ago

finance

6.99 score 109 stars 6 scripts 647 downloads

RblDataLicense - R Interface to 'Bloomberg Data License'

R interface to access prices and market data with the 'Bloomberg Data License' service from <https://www.bloomberg.com/professional/product/data-license/>. As a prerequisite, a valid Data License from 'Bloomberg' is needed together with the corresponding SFTP credentials and whitelisting of the IP from which accessing the service. This software and its author are in no way affiliated, endorsed, or approved by 'Bloomberg' or any of its affiliates. 'Bloomberg' is a registered trademark.

Last updated 7 months ago

bloombergbloomberg-databloomberg-datalicense

4.88 score 15 stars 9 scripts 217 downloads

yuimaGUI - A Graphical User Interface for the 'yuima' Package

Provides a graphical user interface for the 'yuima' package.

Last updated 3 years ago

1.00 score 2 scripts 187 downloads