Skip to main content
M5 Research

Repositories

Open-source repositories that accompany our research. Code links are added as each project is published.

Repository Catalog

  • m5-har-rv
    Coming Soon

    har-rv-extensions

    Noise-robust realized-variance estimation and HAR-RV forecasting utilities accompanying the volatility paper.

    m5-vol-001
    GitHub

    Repository link added on publication.

  • m5-macro-factors
    Coming Soon

    sparse-macro-factors

    Sparse-PCA factor extraction from macroeconomic and financial panels for cross-sectional equity research.

    m5-macro-001m5-macro-002
    GitHub

    Repository link added on publication.

  • m5-order-flow
    Coming Soon

    order-flow-impact

    Limit-order-book tooling for decomposing transient and permanent price impact from order flow imbalance.

    m5-micro-001m5-micro-002
    GitHub

    Repository link added on publication.

  • m5-pairs-regime
    Coming Soon

    regime-switching-pairs

    Markov regime-switching cointegration and dynamic hedge-ratio estimation for long/short equity pairs.

    m5-stat-001
    GitHub

    Repository link added on publication.

  • m5-vol-surface
    Coming Soon

    iv-surface-bounds

    Model-free no-arbitrage constraints on the implied-volatility surface under stochastic volatility dynamics.

    m5-price-001m5-price-002
    GitHub

    Repository link added on publication.

Browse the research archive →