# Finance and Economics **URL:** https://discourse.julialang.org/c/domain/fintech/33.md?page=2 [Latest](https://discourse.julialang.org/latest.md) · [Categories](https://discourse.julialang.org/categories.md) · [Tags](https://discourse.julialang.org/tags.md) **Page:** 3 --- ## [Getting Started with High Frequency Finance using Crypto Data and Julia](https://discourse.julialang.org/t/getting-started-with-high-frequency-finance-using-crypto-data-and-julia/63730)
**Author:** [@dm13450](https://discourse.julialang.org/u/dm13450)\ **Replies:** 11\ **Last updated:** [August 9, 2021, 12:03am UTC](https://discourse.julialang.org/t/getting-started-with-high-frequency-finance-using-crypto-data-and-julia/63730 "2021-08-09T00:03:08Z")
I’ve written about how to use my CoinbasePro.jl package in Julia to get started with some concepts in high frequency finance. Happy to answer any questions around the subject for anyone interested! --- ## [Two Decimal Place Fixed Point Decimals a Necessary Feature](https://discourse.julialang.org/t/two-decimal-place-fixed-point-decimals-a-necessary-feature/63808)
**Author:** [@brett\_knoss](https://discourse.julialang.org/u/brett_knoss)\ **Replies:** 18\ **Last updated:** [July 2, 2021, 8:56am UTC](https://discourse.julialang.org/t/two-decimal-place-fixed-point-decimals-a-necessary-feature/63808 "2021-07-02T08:56:20Z")
For basic accounting in all countries that use a decimal currency, such as Dollars and Cents, all numbers are always two decimal places. For this reason, having a financial number type, that is always two decimals, woul… --- ## [DSGE estimation/inference game?](https://discourse.julialang.org/t/dsge-estimation-inference-game/63364)
**Author:** [@mcreel](https://discourse.julialang.org/u/mcreel)\ **Replies:** 4\ **Last updated:** [June 22, 2021, 2:14pm UTC](https://discourse.julialang.org/t/dsge-estimation-inference-game/63364 "2021-06-22T14:14:43Z")
I’ve been working on a method for estimating a DSGE model and doing inference on parameters, and it seems to work pretty well, for a fairly simple model (https://github.com/mcreel/SimulatedNeuralMoments.jl/tree/main/exam… --- ## [Model of accounts](https://discourse.julialang.org/t/model-of-accounts/62912)
**Author:** [@elgator](https://discourse.julialang.org/u/elgator)\ **Replies:** 1\ **Last updated:** [June 15, 2021, 7:54am UTC](https://discourse.julialang.org/t/model-of-accounts/62912 "2021-06-15T07:54:11Z")
Hi, I need a piece of architecture advice. I am trying to implement a DSL for financial modelling (3 statement financial model, not the asset-valuaion one). Conceptually the model is quite straitforward: given a number … --- ## [Creating an Accounting Program in Julia, for Pluto](https://discourse.julialang.org/t/creating-an-accounting-program-in-julia-for-pluto/62227)
**Author:** [@brett\_knoss](https://discourse.julialang.org/u/brett_knoss)\ **Replies:** 75\ **Last updated:** [June 8, 2021, 12:22pm UTC](https://discourse.julialang.org/t/creating-an-accounting-program-in-julia-for-pluto/62227 "2021-06-08T12:22:36Z")
I keep going in circles, do I use a macro, or do I use a function? How do I a get this as a dataframe and this as a dataframe with one line of code. These examples are from different sources, but the ledger(b… --- ## [Packages for game theory](https://discourse.julialang.org/t/packages-for-game-theory/59255)
**Author:** [@brett\_knoss](https://discourse.julialang.org/u/brett_knoss)\ **Replies:** 2\ **Last updated:** [April 14, 2021, 9:22pm UTC](https://discourse.julialang.org/t/packages-for-game-theory/59255 "2021-04-14T21:22:16Z")
What packages are there for game theory? --- ## [Is anyone up for collaborating on a vectorized (portfolio) backtesting library?](https://discourse.julialang.org/t/is-anyone-up-for-collaborating-on-a-vectorized-portfolio-backtesting-library/57720)
**Author:** [@itchingpixels](https://discourse.julialang.org/u/itchingpixels)\ **Replies:** 7\ **Last updated:** [March 22, 2021, 5:18pm UTC](https://discourse.julialang.org/t/is-anyone-up-for-collaborating-on-a-vectorized-portfolio-backtesting-library/57720 "2021-03-22T17:18:55Z")
Hi! I just replied on another thread - I’ve started working on a vectorized (both single asset and portfolio) backtesting framework. I think it could be a low hanging fruit (it’s really not rocket science), high leverag… --- ## [UnitfulForex.jl — foreign exchange rates as Unitful.jl units](https://discourse.julialang.org/t/unitfulforex-jl-foreign-exchange-rates-as-unitful-jl-units/56572)
**Author:** [@sidpatil](https://discourse.julialang.org/u/sidpatil)\ **Replies:** 1\ **Last updated:** [March 5, 2021, 6:05pm UTC](https://discourse.julialang.org/t/unitfulforex-jl-foreign-exchange-rates-as-unitful-jl-units/56572 "2021-03-05T18:05:24Z")
https://github.com/spatil47/UnitfulForex.jl This is a tiny script which automatically creates Unitful.jl units from foreign exchange rates published at http://exchangeratesapi.io/. I’m still quite new to Julia. I’d lik… --- ## [Any lib for getting Hong Kong stock data?](https://discourse.julialang.org/t/any-lib-for-getting-hong-kong-stock-data/55500)
**Author:** [@hellojason](https://discourse.julialang.org/u/hellojason)\ **Replies:** 2\ **Last updated:** [February 19, 2021, 3:27am UTC](https://discourse.julialang.org/t/any-lib-for-getting-hong-kong-stock-data/55500 "2021-02-19T03:27:46Z")
I have tried Alpha Vantage, that I can plot chart easily, but it seems no way to retrieve Hong Kong stock data. Does any lib. supporting for it? If really no way then I considering to try it by python … Btw, as I am int… --- ## [Querying WRDS Data using Julia](https://discourse.julialang.org/t/querying-wrds-data-using-julia/31835)
**Author:** [@Yifan\_Liu](https://discourse.julialang.org/u/Yifan_Liu)\ **Replies:** 13\ **Last updated:** [February 18, 2021, 3:44am UTC](https://discourse.julialang.org/t/querying-wrds-data-using-julia/31835 "2021-02-18T03:44:39Z")
I have written a short tutorial about querying WRDS data using Julia. A user only needs to input her username and password to work with WRDS remotely in Julia. Basically, I translated the existing tutorial about querying… --- ## [Latest wisdom on Python vs. Julia for Economists (Applied Micro)?](https://discourse.julialang.org/t/latest-wisdom-on-python-vs-julia-for-economists-applied-micro/51942)
**Author:** [@samerb](https://discourse.julialang.org/u/samerb)\ **Replies:** 8\ **Last updated:** [December 17, 2020, 10:28am UTC](https://discourse.julialang.org/t/latest-wisdom-on-python-vs-julia-for-economists-applied-micro/51942 "2020-12-17T10:28:31Z")
Hi, Early stage econ Phd student here focusing in micro theory but considering a shift/expansion into applied micro IO/health. I’ve previously learned some basic Python from a more traditional software engineering viewp… --- ## [Just curious: why most of packages in github.com/JuliaQuant organization not updated for a quite long time](https://discourse.julialang.org/t/just-curious-why-most-of-packages-in-github-com-juliaquant-organization-not-updated-for-a-quite-long-time/51707)
**Author:** [@liuyxpp](https://discourse.julialang.org/u/liuyxpp)\ **Replies:** 1\ **Last updated:** [December 13, 2020, 4:41pm UTC](https://discourse.julialang.org/t/just-curious-why-most-of-packages-in-github-com-juliaquant-organization-not-updated-for-a-quite-long-time/51707 "2020-12-13T16:41:53Z")
I am searching for an alternative to Backtrader in Python, or any backtesting framework in Julia, without any luck. How do people here in Julia do trade backtesting? --- ## [DBnomics - World Economic Database](https://discourse.julialang.org/t/dbnomics-world-economic-database/50242)
**Author:** [@tlorans](https://discourse.julialang.org/u/tlorans)\ **Replies:** 1\ **Last updated:** [November 18, 2020, 12:28am UTC](https://discourse.julialang.org/t/dbnomics-world-economic-database/50242 "2020-11-18T00:28:32Z")
Hello everybody, This is my first post in this forum. :slight\_smile: I would like to point out the existence of a Julia version of the DBnomics API. The DBnomics project is led by French academics and aims to concatena… --- ## [AnSchorfheide() example model in DSGE.jl](https://discourse.julialang.org/t/anschorfheide-example-model-in-dsge-jl/49872)
**Author:** [@caiodantas](https://discourse.julialang.org/u/caiodantas)\ **Replies:** 1\ **Last updated:** [November 10, 2020, 2:52am UTC](https://discourse.julialang.org/t/anschorfheide-example-model-in-dsge-jl/49872 "2020-11-10T02:52:22Z")
I am trying to estimate the AnSchorfheide() example model in DSGE.jl, but after the Metropolis-Hastings algorithm is executed I get the message: ERROR: LoadError: UndefVarError: load\_draws not defined Stacktrace: \[1\] m… --- ## [TCN Temporal Convolutional Networks in Julia?](https://discourse.julialang.org/t/tcn-temporal-convolutional-networks-in-julia/46188)
**Author:** [@compleat](https://discourse.julialang.org/u/compleat)\ **Replies:** 4\ **Last updated:** [September 15, 2020, 5:01pm UTC](https://discourse.julialang.org/t/tcn-temporal-convolutional-networks-in-julia/46188 "2020-09-15T17:01:30Z")
TCN’s are hyped to be the best new approach in ML forecasting of Financial Time Series since LSTM, and have been claimed to be superior in performance and more efficient to compute. Has anyone managed to implement TCN’… --- ## [Sign restrictions on structural VARs](https://discourse.julialang.org/t/sign-restrictions-on-structural-vars/39268)
**Author:** [@donk\_fish](https://discourse.julialang.org/u/donk_fish)\ **Replies:** 5\ **Last updated:** [July 7, 2020, 8:11am UTC](https://discourse.julialang.org/t/sign-restrictions-on-structural-vars/39268 "2020-07-07T08:11:20Z")
Good morning, I’m curious how far Julia has gotten with libraries to estimate various types of (S)VAR models? For example, is there a library that implements sign restrictions? I couldn’t find anything by searching. --- ## [Specify jumps in a Heston-like model?](https://discourse.julialang.org/t/specify-jumps-in-a-heston-like-model/42422)
**Author:** [@mcreel](https://discourse.julialang.org/u/mcreel)\ **Replies:** 9\ **Last updated:** [July 6, 2020, 8:35am UTC](https://discourse.julialang.org/t/specify-jumps-in-a-heston-like-model/42422 "2020-07-06T08:35:09Z")
I am working with a model similar to the Heston model, and would like to add jumps. I would like to have the jump rate which depend on the ordinary volatility as rate1(u,p,t) = λ0 .+ λ1.\*exp(u\[2\]/2.0) I understand tha… --- ## [Derivatives of a production function](https://discourse.julialang.org/t/derivatives-of-a-production-function/42354)
**Author:** [@amrods](https://discourse.julialang.org/u/amrods)\ **Replies:** 12\ **Last updated:** [July 2, 2020, 11:16am UTC](https://discourse.julialang.org/t/derivatives-of-a-production-function/42354 "2020-07-02T11:16:34Z")
I have a production function with several CES levels: function F(L2, A; λ=ones(4)./2, ρ=ones(4)./2) #L2 is 3x2, A is 1x1, λ and ρ are vectors of length 4 λ1 = λ\[1:2\] λ2 = λ\[3:4\] ρ1 = ρ\[1:2\] ρ2 = ρ\[3:… --- ## [New package for shifting of market data](https://discourse.julialang.org/t/new-package-for-shifting-of-market-data/35026)
**Author:** [@lungben](https://discourse.julialang.org/u/lungben)\ **Replies:** 6\ **Last updated:** [June 26, 2020, 11:34am UTC](https://discourse.julialang.org/t/new-package-for-shifting-of-market-data/35026 "2020-06-26T11:34:14Z")
Hi, for sensitivity calculation, stress testing or market risk (VaR, etc.) calculation market data items (like interest rate and FX curves) need to be shifted. Often the base items and the shift sizes are not defined o… --- ## [Stationary distribution with sparse transition matrix](https://discourse.julialang.org/t/stationary-distribution-with-sparse-transition-matrix/40301)
**Author:** [@Honza9723](https://discourse.julialang.org/u/Honza9723)\ **Replies:** 7\ **Last updated:** [May 28, 2020, 9:37pm UTC](https://discourse.julialang.org/t/stationary-distribution-with-sparse-transition-matrix/40301 "2020-05-28T21:37:54Z")
Dear All, I would like to ask for help/advice with following problem. I am solving the Hugget type of model (stationary distribution/transition) using the transition matrix approach (one AR(1) and one IID shock). In the… --- ## [Regression Workflow](https://discourse.julialang.org/t/regression-workflow/39071)
**Author:** [@IljaK91](https://discourse.julialang.org/u/IljaK91)\ **Replies:** 6\ **Last updated:** [May 12, 2020, 7:36am UTC](https://discourse.julialang.org/t/regression-workflow/39071 "2020-05-12T07:36:27Z")
Hi everyone, So far I did not succeed in moving my empirical workflow to Julia: Data cleaning (Query.jl/DataFrames.jl) → Regression (GLM.jl) → Custom Standard Errors (CovarianceMatrices.jl) ??? Latex-Regressiontable (R… --- ## [NLsolve.jl collocation divergence](https://discourse.julialang.org/t/nlsolve-jl-collocation-divergence/35256)
**Author:** [@Honza9723](https://discourse.julialang.org/u/Honza9723)\ **Replies:** 10\ **Last updated:** [March 5, 2020, 7:19pm UTC](https://discourse.julialang.org/t/nlsolve-jl-collocation-divergence/35256 "2020-03-05T19:19:56Z")
Hi everyone! I would like to ask for help/suggestions/advice with my code. I am trying to solve a simple macroeconomic model (plain vanilla deterministic optimal growth) using collocation with Chebyshev polynomials. To … --- ## [Using Julia on XSEDE](https://discourse.julialang.org/t/using-julia-on-xsede/34824)
**Author:** [@Yifan\_Liu](https://discourse.julialang.org/u/Yifan_Liu)\ **Replies:** 3\ **Last updated:** [February 20, 2020, 11:29am UTC](https://discourse.julialang.org/t/using-julia-on-xsede/34824 "2020-02-20T11:29:59Z")
I recently came across this project called XSEDE (Extreme Science and Engineering Discovery Environment) and was wondering if anyone has experience using Julia on this platform. Is it good for both data-intensive and com… --- ## [ANN: JuliaActuary](https://discourse.julialang.org/t/ann-juliaactuary/31996)
**Author:** [@Alec\_Loudenback](https://discourse.julialang.org/u/Alec_Loudenback)\ **Replies:** 1\ **Last updated:** [February 16, 2020, 10:52pm UTC](https://discourse.julialang.org/t/ann-juliaactuary/31996 "2020-02-16T22:52:05Z")
I have created a GitHub organization to focus on extending Julia functionality into the actuarial domain: https://github.com/JuliaActuary I think there’s a lot of untapped potential to use Julia in the Actuarial profes… --- ## [Using DifferentialEquations.jl to solve routine optimal control problems](https://discourse.julialang.org/t/using-differentialequations-jl-to-solve-routine-optimal-control-problems/34096)
**Author:** [@Albert\_Zevelev](https://discourse.julialang.org/u/Albert_Zevelev)\ **Replies:** 7\ **Last updated:** [February 3, 2020, 8:38pm UTC](https://discourse.julialang.org/t/using-differentialequations-jl-to-solve-routine-optimal-control-problems/34096 "2020-02-03T20:38:18Z")
I’m using DifferentialEquations.jl to solve a standard consumption-savings problem. I wanna see if there is a way to solve these issues before I submit feature-requests. using DifferentialEquations, BoundaryValueDiffEq… --- ## [Anyone using a PAID source for Sp500 options data specifically 30 day mean implied volatility?](https://discourse.julialang.org/t/anyone-using-a-paid-source-for-sp500-options-data-specifically-30-day-mean-implied-volatility/31324)
**Author:** [@anon97116444](https://discourse.julialang.org/u/anon97116444)\ **Replies:** 8\ **Last updated:** [November 21, 2019, 2:24pm UTC](https://discourse.julialang.org/t/anyone-using-a-paid-source-for-sp500-options-data-specifically-30-day-mean-implied-volatility/31324 "2019-11-21T14:24:24Z")
I can’t seem to find any discussion on discourse about live options data? I’m looking for the following. date,time,symbol,last,volume, open interest, 30 day mean implied volatility. don’t need HFT just 1 - 5 minutes w… --- ## [Monte Carlo Simulation for Investment Portfolio Earnings](https://discourse.julialang.org/t/monte-carlo-simulation-for-investment-portfolio-earnings/30354)
**Author:** [@Nigel\_Adams](https://discourse.julialang.org/u/Nigel_Adams)\ **Replies:** 0\ **Last updated:** [October 27, 2019, 5:07am UTC](https://discourse.julialang.org/t/monte-carlo-simulation-for-investment-portfolio-earnings/30354 "2019-10-27T05:07:47Z")
In case anyone is interested in Monte Carlo finance experiments this might be of interest. In this blog post we use Julia to simulate the growth of an investment portfolio using Geometric Brownian motion (GBM). I hope… --- ## [Generating random quantity from a vector of quantities](https://discourse.julialang.org/t/generating-random-quantity-from-a-vector-of-quantities/23718)
**Author:** [@Arega\_Getaneh](https://discourse.julialang.org/u/Arega_Getaneh)\ **Replies:** 6\ **Last updated:** [May 1, 2019, 8:54am UTC](https://discourse.julialang.org/t/generating-random-quantity-from-a-vector-of-quantities/23718 "2019-05-01T08:54:04Z")
Q\_mean\_vec=\[0 3000 3500 4000 4500 5000 5500 6000 6500 7000 7500 8000\] qmean=0 for Q\_v=Q\_mean\_vec qmean=qmean+1 Q\_mean=Q\_v Q\_std=0.2; Q\_sigma=Q\_std.\*Q\_v dQ = MvNormal(Q\_v,Q\_sigma) Q=rand(dQ,W); end I wanted Q to… --- ## [ANN: Markowitz.jl (mean-variance optimization using the critical line algorithm)](https://discourse.julialang.org/t/ann-markowitz-jl-mean-variance-optimization-using-the-critical-line-algorithm/6624)
**Author:** [@ungil](https://discourse.julialang.org/u/ungil)\ **Replies:** 1\ **Last updated:** [November 23, 2018, 10:54pm UTC](https://discourse.julialang.org/t/ann-markowitz-jl-mean-variance-optimization-using-the-critical-line-algorithm/6624 "2018-11-23T22:54:22Z")
https://github.com/ungil/Markowitz.jl --- ## [Material for Tax Benefit Models](https://discourse.julialang.org/t/material-for-tax-benefit-models/16501)
**Author:** [@grahamstark](https://discourse.julialang.org/u/grahamstark)\ **Replies:** 0\ **Last updated:** [October 18, 2018, 5:38pm UTC](https://discourse.julialang.org/t/material-for-tax-benefit-models/16501 "2018-10-18T17:38:54Z")
Hi, first time posting here. Hello everyone. I write microsimulation models for a living - more here, if you’re interested - and I’m starting work on an open-source Tax-Benefit model for Scotland. This is unfunded at p… [Previous page](https://discourse.julialang.org/c/domain/fintech/33.md?page=1) [Next page](https://discourse.julialang.org/c/domain/fintech/33.md?page=3)