I am a data scientist working as Head of R&D in the financial industry. I have a direct interest in asset allocation and asset pricing, data science, artifical intelligence and algorithmic. On this web site, you may find diverse resources, mostly related to previous research and computer codes focused on business and asset price cycles.


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Download MSVARlib - An open source Gauss - Scilab library to estimate Multivariate Markov-Switching models -

MSVARlib is a library allowing estimations of multivariate multi-state Markov switching regression models, based on a classical Maximum likelihood approach and standard optimization procedures. It has been fully inspired by the orignal works of James D. Hamilton and Hans Martin Krolzig. A first version of MSVARlib version was released on February 2004 for Gauss and an upgraded and completed version has been available on this website since Februray 2005. This package has been designed to use minimal Gauss resources and should be easily tranposed to any matricial environnment. A more elaborated Scilab version has been available since 2006 thanks to Eric Dubois, and included in the GROCER toolbox. Click here to download MSVARlib for Scilab users, or go directly to the GROCER web site.