Saturday, 5 January 2013

Market Event Simulator in C#

I recently completed a Coursera course on Computational Finance. Part of the course was to customize a Market Event Simulator written in Python and Pandas.

I decided to do a conversion of the event simulator to C# and contribute it to a codeplex project called QSTK.net.

Here is the output graph of an Event study on historical data from the NYSE.



Additional details on the Event Profiler can be found on the Python QSTK website.

You can get the latest source from codeplex using TFS,Subversion or zip download.