I require a freelancer to create the Volume-Synchronized Probability of Informed Trading (VPIN) model created by Easley, O'Hara and Prado. It is a measure of flow toxicity in financial markets. There will be a slight change to this model including a two state Markov model. Ideally you will have programming experience in Java or C++. If this can be connected to interactive brokers for live data or another data feed that would be the ultimate goal. If not the model will need to be created in excel in a way it can be communicated clearly to a programmer to implement.
There are further projects for the right person including an ordered probit GARCH framework and a model using Bayes rule.
If you have the capability to create the above and communicate changes, requirements and analysis clearly please contact me.
7 freelancers are bidding on average $812 for this job
Hello, This looks like a very interesting project. I am going to send you a private message with some important information regarding my experience with these types of programs. Jeff