Coding

I am familiar with a dozen of programming languages, but I mainly code in R and Python. Most of the packages I develop are based on my papers and conference talks.

GitHub repositories

bidask
Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
calculus
High Dimensional Numerical and Symbolic Calculus in R
covid19datahub
COVID-19 Data Hub
RblDataLicense
R Interface to Bloomberg Data License

R packages

bidask
Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
calculus
High Dimensional Numerical and Symbolic Calculus in R
COVID19
R Interface to COVID-19 Data Hub
RblDataLicense
R Interface to Bloomberg Data License
yuimaGUI
A Graphical User Interface for the yuima Package

Python packages

bidask
Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
covid19dh
Python Interface to COVID-19 Data Hub
stc
Sparse Tensor Classifier Supervised Classification with Born’s Rule (to be migrated)