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Naijia Guo and Zhentao Shi co-teach Econ5170. Zhentao covers the following topics. This README file will be updated as the course progresses. Code scripts will be provided.

https://github.com/zhentaoshi/econ5170Tags | economics econometrics r computation |

Implementation | Jupyter Notebook |

License | GPL |

Platform |

This is a free open source project for software tools in financial economics. We develop code for research notebooks which are executable scripts capable of statistical computations, as well as, collection of raw data in real-time. This serves to verify theoretical ideas and practical methods interactively. Economic and financial data, both historical and the most current.

jupyter-notebook pandas federal-reserve gdp inflation income housing equities bonds fx gold time-series econometrics statistics asset-pricing finance interest-rates economics employmentAnomalyDetection is an open-source R package to detect anomalies which is robust, from a statistical standpoint, in the presence of seasonality and an underlying trend. The AnomalyDetection package can be used in wide variety of contexts. For example, detecting anomalies in system metrics after a new software release, user engagement post an A/B test, or for problems in econometrics, financial engineering, political and social sciences.

anomaly-detection fraud-detection statisticsTensorFlow™ is an open source software library for numerical computation using data flow graphs. Nodes in the graph represent mathematical operations, while the graph edges represent the multidimensional data arrays (tensors) communicated between them. The flexible architecture allows you to deploy computation to one or more CPUs or GPUs in a desktop, server, or mobile device with a single API. The TensorFlow API is composed of a set of Python modules that enable constructing and executing TensorFlow graphs. The tensorflow package provides access to the complete TensorFlow API from within R.

The HaskellR project provides an environment for efficiently processing data using Haskell or R code, interchangeably. HaskellR allows Haskell functions to seamlessly call R functions and vice versa. It provides the Haskell programmer with the full breadth of existing R libraries and extensions for numerical computation, statistical analysis and machine learning. All documentation is available on the HaskellR website.

r haskell interoperability ffiBreakoutDetection is an open-source R package that makes breakout detection simple and fast. The BreakoutDetection package can be used in wide variety of contexts. For example, detecting breakout in user engagement post an A/B test, detecting behavioral change, or for problems in econometrics, financial engineering, political and social sciences.The underlying algorithm – referred to as E-Divisive with Medians (EDM) – employs energy statistics to detect divergence in mean. Note that EDM can also be used detect change in distribution in a given time series. EDM uses robust statistical metrics, viz., median, and estimates the statistical significance of a breakout through a permutation test.

Statsmodels: statistical modeling and econometrics in Python

Specifically, Certigrad is a system for optimizing over stochastic computation graphs, that we debugged systematically in the Lean Theorem Prover, and ultimately proved correct in terms of the underlying mathematics. Stochastic computation graphs extend the computation graphs that underlie systems like TensorFlow and Theano by allowing nodes to represent random variables and by defining the loss function to be the expected value of the sum of the leaf nodes over all the random choices in the graph. Certigrad allows users to construct arbitrary stochastic computation graphs out of the primitives that we provide. The main purpose of the system is to take a program describing a stochastic computation graph and to run a randomized algorithm (stochastic backpropagation) that, in expectation, samples the gradients of the loss function with respect to the parameters.

machine-learning theorem-proving lean verificationThis Julia-language implementation mirrors the MATLAB code included in the Liberty Street Economics blog post The FRBNY DSGE Model Forecast. For the latest documentation on the code, click on the docs|latest button above. Documentation for the most recent model version is available here.

economics macroeconomics dsge bayesian-inferenceStorm is a distributed real time computation system. Storm makes it easy to reliably process unbounded streams of data, doing for real time processing what Hadoop did for batch processing. Storm has many use cases: realtime analytics, online machine learning, continuous computation, distributed RPC, ETL, and more.

real-time-computation analytics real-time stream-processing distributed-rpc data-processingTraining very deep neural networks requires a lot of memory. Using the tools in this package, developed jointly by Tim Salimans and Yaroslav Bulatov, you can trade off some of this memory usage with computation to make your model fit into memory more easily. For feed-forward models we were able to fit more than 10x larger models onto our GPU, at only a 20% increase in computation time. The memory intensive part of training deep neural networks is computing the gradient of the loss by backpropagation. By checkpointing nodes in the computation graph defined by your model, and recomputing the parts of the graph in between those nodes during backpropagation, it is possible to calculate this gradient at reduced memory cost. When training deep feed-forward neural networks consisting of n layers, we can reduce the memory consumption to O(sqrt(n)) in this way, at the cost of performing one additional forward pass (see e.g. Training Deep Nets with Sublinear Memory Cost, by Chen et al. (2016)). This repository provides an implementation of this functionality in Tensorflow, using the Tensorflow graph editor to automatically rewrite the computation graph of the backward pass.

TensorFlow Fold is a library for creating TensorFlow models that consume structured data, where the structure of the computation graph depends on the structure of the input data. For example, this model implements TreeLSTMs for sentiment analysis on parse trees of arbitrary shape/size/depth. Fold implements dynamic batching. Batches of arbitrarily shaped computation graphs are transformed to produce a static computation graph. This graph has the same structure regardless of what input it receives, and can be executed efficiently by TensorFlow.

Quick reference for switching between mathematical computation environments for computer algebra, numeric processing and data visualisation. Examples are Matlab, IDL, SPlus, and their open-source counterparts Octave, Scilab, Python+NumPy and R.

DPark is a Python clone of Spark, MapReduce(R) alike computing framework supporting iterative computation. See examples/ for more use cases.

H2O is for data scientists and application developers who need fast, in-memory scalable machine learning for smarter applications. H2O is an open source parallel processing engine for machine learning. Unlike traditional analytics tools, H2O provides a combination of extraordinary math, a high performance parallel architecture, and unrivaled ease of use.

artificial-intelligence neural-networks machine-learning deep-learning numerical-computationInstructions for how to install the necessary software for this tutorial is available here. Data for the tutorial can be downloaded by running ./data/get-data.sh (requires wget). Certain algorithms don't scale well when there are millions of features. For example, decision trees require computing some sort of metric (to determine the splits) on all the feature values (or some fraction of the values as in Random Forest and Stochastic GBM). Therefore, computation time is linear in the number of features. Other algorithms, such as GLM, scale much better to high-dimensional (n << p) and wide data with appropriate regularization (e.g. Lasso, Elastic Net, Ridge).

machine-learning deep-learning random-forest gradient-boosting-machine tutorial data-science ensemble-learning rEvo is easy to use and extend library for evolutionary computation. It contains either traditional evolutionary algorithms and more complicated, modern genetic/evolutionary algorithms and operators. Implemented in C#.

algorithms computation framework genetic-algorithms libraryTensorFlow is an open source software library for numerical computation using data flow graphs. Nodes in the graph represent mathematical operations, while the graph edges represent the multidimensional data arrays (tensors) that flow between them. This flexible architecture lets you deploy computation to one or more CPUs or GPUs in a desktop, server, or mobile device without rewriting code. TensorFlow was originally developed by researchers and engineers working on the Google Brain team within

Clever Algorithms: Nature-Inspired Programming Recipes is an open source book that describes a large number of algorithmic techniques from the the fields of Biologically Inspired Computation, Computational Intelligence and Metaheuristics in a complete, consistent, and centralized manner such that they are accessible, usable, and understandable. This is a repository for the book project used during the development and ongoing maintenance of the books’ content. Implementing an Artificial Intelligence algorithm is difficult. Algorithm descriptions may be incomplete, inconsistent, and distributed across a number of papers, chapters and even websites. This can result in varied interpretations of algorithms, undue attrition of algorithms, and ultimately bad science. This book is an effort to address these issues by providing a handbook of algorithmic recipes drawn from the fields of Metaheuristics, Biologically Inspired Computation and Computational Intelligence, described in a complete, consistent, and centralized manner. These standardized descriptions were carefully designed to be accessible, usable, and understandable. Most of the algorithms described were originally inspired by biological and natural systems, such as the adaptive capabilities of genetic evolution and the acquired immune system, and the foraging behaviors of birds, bees, ants and bacteria. An encyclopedic algorithm reference, this book is intended for research scientists, engineers, students, and interested amateurs. Each algorithm description provides a working code example in the Ruby Programming Language.

TensorFlow is a library for numerical computation using data flow graphs. Nodes in the graph represent mathematical operations, while the graph edges represent the multidimensional data arrays (tensors) that flow between them. This flexible architecture lets you deploy computation to one or more CPUs or GPUs in a desktop, server, or mobile device without rewriting code.

artificial-intelligence neural-networks machine-learning deep-learning numerical-computationThis dynamic transfer / deployment of arbitrary computations is possible because definitions in Unison are identified by a cryptographic hash of their content, including the hashes of all dependencies (the hash is also "nameless" as it isn't affected by naming of variables). To transfer a computation, we send it to the recipient, and the recipient checks to see if the computation references any unknown hashes. Any unknown hashes are synced to the recipient before the transfer completes and the computation proceeds. If you'd like to learn more about the project, the talk How to write a search engine in 15 lines of code has more of an introduction to the language.

haskell programming-language
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