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var
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C++20 macro trading system: PCA-based regime classification, Kelly criterion sizing, IB Gateway execution, VaR monitoring. Backtested on 18 years of real FRED data — 87% win rate, 3.2% max drawdown.
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Updated
Mar 3, 2026 - C++
Discretize VAR(1) of arbitrary size, with arbitrary covariance matrix for innovations, and optional stochastic volatility.
cpp matlab markov-chain hdf5 var discretization armadillo-library tauchen stochastic-volatility non-tensor-grid discretize
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Updated
Nov 8, 2021 - C++
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