# Finance and Economics

**URL:** https://discourse.julialang.org/c/domain/fintech/33.md?page=1

[Latest](https://discourse.julialang.org/latest.md) · [Categories](https://discourse.julialang.org/categories.md) · [Tags](https://discourse.julialang.org/tags.md)

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## [Computable General Equilibrium](https://discourse.julialang.org/t/computable-general-equilibrium/106625)

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**Author:** [@enzo.salvatore](https://discourse.julialang.org/u/enzo.salvatore)\
**Replies:** 8\
**Last updated:** [January 24, 2024, 4:48pm UTC](https://discourse.julialang.org/t/computable-general-equilibrium/106625 "2024-01-24T16:48:26Z")

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We want to discuss the modeling of computable general equilibrium in julia.

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## [Any way to efficiently run Poisson regression thousands of times?](https://discourse.julialang.org/t/any-way-to-efficiently-run-poisson-regression-thousands-of-times/106727)

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**Author:** [@xxxxx](https://discourse.julialang.org/u/xxxxx)\
**Replies:** 23\
**Last updated:** [December 4, 2023, 3:44pm UTC](https://discourse.julialang.org/t/any-way-to-efficiently-run-poisson-regression-thousands-of-times/106727 "2023-12-04T15:44:18Z")

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I need to run Poisson regression around 3000 times with the same set of Y and X but different weights. I’m currently using GLM.jl with a for-loop. The whole thing takes about 58 seconds. I was wondering if there are more…

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## [Julia script for datamining timeseries from Yahoo Finance](https://discourse.julialang.org/t/julia-script-for-datamining-timeseries-from-yahoo-finance/105177)

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**Author:** [@Datseris](https://discourse.julialang.org/u/Datseris)\
**Replies:** 3\
**Last updated:** [October 19, 2023, 11:32am UTC](https://discourse.julialang.org/t/julia-script-for-datamining-timeseries-from-yahoo-finance/105177 "2023-10-19T11:32:34Z")

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Hey guys, some students of mine are working on applying timeseries analysis tools (from JuliaDynamics) to stock market timeseries. I am wondering if anyone has an already made Julia script for downloading (e.g.,) SnP500 …

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## [Calculating Rate of change by year for each sector](https://discourse.julialang.org/t/calculating-rate-of-change-by-year-for-each-sector/104048)

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**Author:** [@nnguyengiatan](https://discourse.julialang.org/u/nnguyengiatan)\
**Replies:** 1\
**Last updated:** [September 20, 2023, 4:26am UTC](https://discourse.julialang.org/t/calculating-rate-of-change-by-year-for-each-sector/104048 "2023-09-20T04:26:00Z")

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Hi all, I have dataframes as follow: Row │ year sector roa │ Int64 String Float64 ─────┼───────────────────────────────────────── 1 │ 2017 Construction …

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## [Blog Post: Tight link between code and math, while keeping speed](https://discourse.julialang.org/t/blog-post-tight-link-between-code-and-math-while-keeping-speed/103548)

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**Author:** [@alfaromartino](https://discourse.julialang.org/u/alfaromartino)\
**Replies:** 0\
**Last updated:** [September 5, 2023, 4:43pm UTC](https://discourse.julialang.org/t/blog-post-tight-link-between-code-and-math-while-keeping-speed/103548 "2023-09-05T16:43:24Z")

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I wrote a blog post about how Julia makes it possible to maintain a tight connection between the code and the written equations of a model, without sacrificing speed. The goal was to demonstrate an approach I use to str…

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## [More Extreme Moves in a Downtrending Market?](https://discourse.julialang.org/t/more-extreme-moves-in-a-downtrending-market/96875)

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**Author:** [@dm13450](https://discourse.julialang.org/u/dm13450)\
**Replies:** 0\
**Last updated:** [March 31, 2023, 5:26am UTC](https://discourse.julialang.org/t/more-extreme-moves-in-a-downtrending-market/96875 "2023-03-31T05:26:28Z")

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I’ve written a blog post about that explores whether there are more extreme moves in a down trending market: More Extreme Moves in a Downtrending Market? | Dean Markwick

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## [Currency type with basic algebra and pretty printing](https://discourse.julialang.org/t/currency-type-with-basic-algebra-and-pretty-printing/95700)

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**Author:** [@juliohm](https://discourse.julialang.org/u/juliohm)\
**Replies:** 3\
**Last updated:** [March 8, 2023, 4:54pm UTC](https://discourse.julialang.org/t/currency-type-with-basic-algebra-and-pretty-printing/95700 "2023-03-08T16:54:02Z")

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What is the go-to package for converting floating point numbers into currencies that can be added and subtracted and pretty printed on tables? Found Currencies.jl, CurrencyAmounts.jl and Assets.jl but none of them seem …

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## [How to use monthly data to calculate quarterly average](https://discourse.julialang.org/t/how-to-use-monthly-data-to-calculate-quarterly-average/94709)

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**Author:** [@WhY](https://discourse.julialang.org/u/WhY)\
**Replies:** 8\
**Last updated:** [February 24, 2023, 11:21am UTC](https://discourse.julialang.org/t/how-to-use-monthly-data-to-calculate-quarterly-average/94709 "2023-02-24T11:21:38Z")

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I am trying to use a monthly data to calculate the quarter average, suppose now I randomly generate 10000 month, and try to use this to get the quarterly average by using the loop: T = 10000 a=rand(Int,T) # monthly data…

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## [Matrix multiplication convergence](https://discourse.julialang.org/t/matrix-multiplication-convergence/94042)

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**Author:** [@WhY](https://discourse.julialang.org/u/WhY)\
**Replies:** 10\
**Last updated:** [February 8, 2023, 7:30am UTC](https://discourse.julialang.org/t/matrix-multiplication-convergence/94042 "2023-02-08T07:30:37Z")

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I am trying to coding a transition matrix I generated using Rouwenhorst converge to a idempotent by multiply itself multiple times in Julia using if loop, but I am new to Julia and don’t know how. Basic enviroment: \\Pi…

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## [Quadratic Program solver for Portfolio Optimization](https://discourse.julialang.org/t/quadratic-program-solver-for-portfolio-optimization/93264)

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**Author:** [@maxchendt](https://discourse.julialang.org/u/maxchendt)\
**Replies:** 8\
**Last updated:** [January 30, 2023, 8:56am UTC](https://discourse.julialang.org/t/quadratic-program-solver-for-portfolio-optimization/93264 "2023-01-30T08:56:53Z")

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Any recommendations? For portfolio selection problem with equality and inequality constraints, and lower and upper bounds for portfolio weights. So far, what I have tested ( I do not test commercial solver like Gurobi …

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## [Deep Reinforcement Learning](https://discourse.julialang.org/t/deep-reinforcement-learning/93104)

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**Author:** [@DFKMB](https://discourse.julialang.org/u/DFKMB)\
**Replies:** 1\
**Last updated:** [January 17, 2023, 6:50pm UTC](https://discourse.julialang.org/t/deep-reinforcement-learning/93104 "2023-01-17T18:50:11Z")

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Are there any libraries for Deep Reinforcement Learning in Julia that have cover PPOs and DDPMs as they relate to finance? If so, I have a follow up question.

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## [Trend Following strategy with ETFs in Julia](https://discourse.julialang.org/t/trend-following-strategy-with-etfs-in-julia/90534)

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**Author:** [@dm13450](https://discourse.julialang.org/u/dm13450)\
**Replies:** 2\
**Last updated:** [November 20, 2022, 1:09pm UTC](https://discourse.julialang.org/t/trend-following-strategy-with-etfs-in-julia/90534 "2022-11-20T13:09:59Z")

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I’ve written a post on building out a Trend Following strategy using ETFs:

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## [Best practice for storing, passing, and managing parameters in economic models](https://discourse.julialang.org/t/best-practice-for-storing-passing-and-managing-parameters-in-economic-models/64705)

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**Author:** [@PatrickMcFarlane](https://discourse.julialang.org/u/PatrickMcFarlane)\
**Replies:** 22\
**Last updated:** [November 18, 2022, 2:57pm UTC](https://discourse.julialang.org/t/best-practice-for-storing-passing-and-managing-parameters-in-economic-models/64705 "2022-11-18T14:57:17Z")

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I am working on a discrete time HANK model in Julia. The model has a very large number of parameters. Most of these are related to the theoretical structure of the model (e.g., production function parameters, utility f…

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## [Does anyone has experience / can refer to a "general", "data-driven" PARTIAL equilibrium model?](https://discourse.julialang.org/t/does-anyone-has-experience-can-refer-to-a-general-data-driven-partial-equilibrium-model/89567)

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**Author:** [@sylvaticus](https://discourse.julialang.org/u/sylvaticus)\
**Replies:** 0\
**Last updated:** [October 31, 2022, 2:45pm UTC](https://discourse.julialang.org/t/does-anyone-has-experience-can-refer-to-a-general-data-driven-partial-equilibrium-model/89567 "2022-10-31T14:45:03Z")

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Hello, I am the maintainer of FFSM (https://ffsm-project.org), a bio-economic model that deals with forest biological dynamics, forest management and the markets of timber products. We are currently exploring the possib…

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## [Value function backward induction](https://discourse.julialang.org/t/value-function-backward-induction/45097)

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**Author:** [@Joao\_Barata](https://discourse.julialang.org/u/Joao_Barata)\
**Replies:** 23\
**Last updated:** [August 22, 2020, 4:57pm UTC](https://discourse.julialang.org/t/value-function-backward-induction/45097 "2020-08-22T16:57:21Z")

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Hello guys, I am doing heterogeneous agents macro in olg. I have a model where the agents have a lot of choices at each point in time, and its becoming very slow to solve, especially when I increase the number of points…

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## [Euler Equation Iteration to solve an Optimization problem](https://discourse.julialang.org/t/euler-equation-iteration-to-solve-an-optimization-problem/84135)

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**Author:** [@Albert\_Zevelev](https://discourse.julialang.org/u/Albert_Zevelev)\
**Replies:** 21\
**Last updated:** [August 1, 2022, 7:20pm UTC](https://discourse.julialang.org/t/euler-equation-iteration-to-solve-an-optimization-problem/84135 "2022-08-01T19:20:11Z")

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I would like to solve a simple/routine economics problem with Euler Equation Iteration. The following code works well: using Interpolations, Plots, LinearAlgebra # PolyBasis(K) = \[ones(size(K)) K K.^2\] PolyGetCoef…

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## [Dynare - "LoadError: InexactError: Int64(NaN)" for the simplest model](https://discourse.julialang.org/t/dynare-loaderror-inexacterror-int64-nan-for-the-simplest-model/84284)

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**Author:** [@geekbear](https://discourse.julialang.org/u/geekbear)\
**Replies:** 7\
**Last updated:** [July 16, 2022, 8:18pm UTC](https://discourse.julialang.org/t/dynare-loaderror-inexacterror-int64-nan-for-the-simplest-model/84284 "2022-07-16T20:18:55Z")

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Hi! I was computing the transition path in the perfect foresight Solow growth model from a given initial capital stock, and keep getting “LoadError: InexactError: Int64(NaN)” when I tried to run the .mod file. I can’t fi…

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## [Solving Boundary Value Differential Equation Problems for Economics](https://discourse.julialang.org/t/solving-boundary-value-differential-equation-problems-for-economics/72871)

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**Author:** [@MainBatDealer](https://discourse.julialang.org/u/MainBatDealer)\
**Replies:** 18\
**Last updated:** [July 15, 2022, 10:44pm UTC](https://discourse.julialang.org/t/solving-boundary-value-differential-equation-problems-for-economics/72871 "2022-07-15T22:44:59Z")

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Hi all, I am interested in using the BoundaryValueDiffEq part of DifferentialEquations to solve economic growth problems in continuous time. The problem is, I can’t get a relatively simple example to work! The example …

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## [High order approximation of a multi-country trade model](https://discourse.julialang.org/t/high-order-approximation-of-a-multi-country-trade-model/83225)

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**Author:** [@daisukeadachi](https://discourse.julialang.org/u/daisukeadachi)\
**Replies:** 22\
**Last updated:** [July 6, 2022, 2:38pm UTC](https://discourse.julialang.org/t/high-order-approximation-of-a-multi-country-trade-model/83225 "2022-07-06T14:38:32Z")

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Hi, I hope this finds you well. I recently moved over from Matlab in search of better computational performance. I am doing this post to get best practices on higher-order approximations for large problems such as the o…

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## [Simple macroeconomic model in DynamicalSystems.jl](https://discourse.julialang.org/t/simple-macroeconomic-model-in-dynamicalsystems-jl/82221)

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**Author:** [@josec](https://discourse.julialang.org/u/josec)\
**Replies:** 20\
**Last updated:** [June 6, 2022, 4:51pm UTC](https://discourse.julialang.org/t/simple-macroeconomic-model-in-dynamicalsystems-jl/82221 "2022-06-06T16:51:58Z")

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Hi. I am very new to Julia. I have a very simple macroeconomic model, which I managed to simulate and plot with numpy for Julia. I tried to simulate it in DynamicalSystems.jl, but not all the equations are of the type:…

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## [Modelling Microstructure Noise Using Hawkes Processes](https://discourse.julialang.org/t/modelling-microstructure-noise-using-hawkes-processes/81298)

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**Author:** [@dm13450](https://discourse.julialang.org/u/dm13450)\
**Replies:** 0\
**Last updated:** [May 19, 2022, 5:06am UTC](https://discourse.julialang.org/t/modelling-microstructure-noise-using-hawkes-processes/81298 "2022-05-19T05:06:22Z")

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Using Julia I’ve shown how you can use Hawkes processes to model the high frequency phenomenon of microstructure noise. This is where the volatility of an asset blows up as you move to smaller timescales. My post is wri…

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## [Parameter structures and restrictions](https://discourse.julialang.org/t/parameter-structures-and-restrictions/80892)

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**Author:** [@Joao\_Barata](https://discourse.julialang.org/u/Joao_Barata)\
**Replies:** 13\
**Last updated:** [May 12, 2022, 3:48pm UTC](https://discourse.julialang.org/t/parameter-structures-and-restrictions/80892 "2022-05-12T15:48:21Z")

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Hi, I’m using a parameter structure for use in an economic model in Julia. I’d like to know what are the best practices here, including the best way to include restrictions when generating and modifying a parameter stru…

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## [Comparison 2 data sets](https://discourse.julialang.org/t/comparison-2-data-sets/78790)

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**Author:** [@ab2z](https://discourse.julialang.org/u/ab2z)\
**Replies:** 6\
**Last updated:** [April 5, 2022, 8:38am UTC](https://discourse.julialang.org/t/comparison-2-data-sets/78790 "2022-04-05T08:38:20Z")

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Hi all, I am new in Julia so I would like to start with a simple question. In testing the migration activities from old to a new system/setting/etc, we mostly need to compare 2 output data sets and extract the deltas. …

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## [Order Flow Imbalance - A High Frequency Trading Signal in Julia](https://discourse.julialang.org/t/order-flow-imbalance-a-high-frequency-trading-signal-in-julia/76656)

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**Author:** [@dm13450](https://discourse.julialang.org/u/dm13450)\
**Replies:** 1\
**Last updated:** [February 18, 2022, 9:16am UTC](https://discourse.julialang.org/t/order-flow-imbalance-a-high-frequency-trading-signal-in-julia/76656 "2022-02-18T09:16:27Z")

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I’ve written a blog post on a high frequency trading signal and how I use Julia to easily calculate it and see if it is profitable.

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## [Convergence of a BVProblem with a Saddle Structure](https://discourse.julialang.org/t/convergence-of-a-bvproblem-with-a-saddle-structure/73678)

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**Author:** [@ptoche](https://discourse.julialang.org/u/ptoche)\
**Replies:** 1\
**Last updated:** [January 2, 2022, 10:14am UTC](https://discourse.julialang.org/t/convergence-of-a-bvproblem-with-a-saddle-structure/73678 "2022-01-02T10:14:05Z")

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The following two-point boundary value problem is difficult to solve because the stationary state has a saddle structure, with one positive and one negative eigenvalue: only one path leads to the stationary state — all o…

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## [Run Scotland's Public Finances in Julia](https://discourse.julialang.org/t/run-scotlands-public-finances-in-julia/72105)

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**Author:** [@grahamstark](https://discourse.julialang.org/u/grahamstark)\
**Replies:** 0\
**Last updated:** [November 26, 2021, 11:02am UTC](https://discourse.julialang.org/t/run-scotlands-public-finances-in-julia/72105 "2021-11-26T11:02:27Z")

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If you’re interested in public economics or policy research generally this might interest you: https://stb.virtual-worlds.scot/scotbudg/ it’s a front-end to a microsimulation of the fiscal system of Scotland. It lets y…

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## [Calculating YoY Rate of Change on DF](https://discourse.julialang.org/t/calculating-yoy-rate-of-change-on-df/71715)

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**Author:** [@YummyPampers2](https://discourse.julialang.org/u/YummyPampers2)\
**Replies:** 4\
**Last updated:** [November 18, 2021, 6:44pm UTC](https://discourse.julialang.org/t/calculating-yoy-rate-of-change-on-df/71715 "2021-11-18T18:44:51Z")

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Hello Folks: I have a DF that looks like: Year = (2016:1:2021,6) Col1= rand(60:0.5:65, 6) Col2 = rand(20:0.5:25, 6) I would like to calculate the rate of change starting from year 2016 for both Col1 and Col2. Might…

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## [Block RW Metropolis Hastings](https://discourse.julialang.org/t/block-rw-metropolis-hastings/71640)

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**Author:** [@donk\_fish](https://discourse.julialang.org/u/donk_fish)\
**Replies:** 1\
**Last updated:** [November 17, 2021, 4:29pm UTC](https://discourse.julialang.org/t/block-rw-metropolis-hastings/71640 "2021-11-17T16:29:42Z")

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Hi Is there a package implementing a block RWMH algorithm? With block, I mean partitioning the parameter vector. Preferably one where I can choose the partition ex ante, but one with random blocks every draw works as w…

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## [Multithreading using FLoops for updating discrete distribution](https://discourse.julialang.org/t/multithreading-using-floops-for-updating-discrete-distribution/71176)

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**Author:** [@PatrickMcFarlane](https://discourse.julialang.org/u/PatrickMcFarlane)\
**Replies:** 11\
**Last updated:** [November 16, 2021, 10:46pm UTC](https://discourse.julialang.org/t/multithreading-using-floops-for-updating-discrete-distribution/71176 "2021-11-16T22:46:39Z")

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I’m working on a heterogeneous agent macroeconomics model. One of the steps in the solution method for the model is to update the (discrete) wealth distribution across agents. The model is quite big so I need to multi…

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## [A little tax-benefit simulation](https://discourse.julialang.org/t/a-little-tax-benefit-simulation/69615)

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**Author:** [@grahamstark](https://discourse.julialang.org/u/grahamstark)\
**Replies:** 0\
**Last updated:** [October 12, 2021, 11:45am UTC](https://discourse.julialang.org/t/a-little-tax-benefit-simulation/69615 "2021-10-12T11:45:11Z")

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Hi, I thought I’d share this: https://stb.virtual-worlds.scot/bcd/ it’s a tax-benefit simulation of budget constraints for the UK (specifically, Scotland). Built in Julia and Dash, it how shows the net income of a hou…

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