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Name: Romain Lafarguette
Type: User
Company: GIC - Government of Singapore Investment Corporation
Bio: Quant Strategist SVP at GIC, the sovereign wealth fund of Singapore
Location: Singapore
Name: Romain Lafarguette
Type: User
Company: GIC - Government of Singapore Investment Corporation
Bio: Quant Strategist SVP at GIC, the sovereign wealth fund of Singapore
Location: Singapore
My IMF course on central bank liquidity forecasting
The IMF working paper on central bank liquidity forecasting with Anastasios Panagiotelis
Python wrapper for clustering analysis, including dendogram and 2D projections. Based on scikit
Sampling from a set of conditional quantiles via inverse transform sampling, with quantiles uncrossing correction
Project densities via quantile coefficients, using matrix projections and resampling (useful in recursive system). For local projections, please use https://github.com/romainlafarguette/quantile-local-projections
My course with Amine Raboun on FX interventions and quantitative policy rule for FXI
Conditional Density Projection via Quantile Regressions, Resampling and Multifit Models
My lecture on Growth-at-Risk, the forecasting density model used at the IMF
Granular instrumental variables, using Gabaix and Koijen paper (2020)
Joyplots in Python with matplotlib & pandas :chart_with_upwards_trend:
My LateX resume
Python wrapper to run projection on latent structures, also called partial least squares
Quantile Local Projections
Python implementation of the Quantiles Spacing paper of Schmidt and Zhu (2016)
Set of R libraries to recreate the same environment as used by the liquidity forecasting infrastructure of the IMF
Estimate a Conditional Skew Normal using robust estimators (Theil-Sen and Firth Logistic Regressions) and an over-parametrized model
A bunch of Python scripts I often use
Personal Github webpage of Romain Lafarguette, International Monetary Fund.
Tips for Python, R, Markdown, Orgmode, etc.
Model and replications scripts for the 2020 IMF Working Paper "Foreign Exchange Interventions Rules for Central Banks: A Risk-Based Framework"
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Open source projects and samples from Microsoft.
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Data-Driven Documents codes.
China tencent open source team.