Check here a blog post by Moritz Schauer and me illustrating functionalities of our Julia package MicrostructureNoise. The package deals with nonparametric Bayesian volatility learning in presence of market microstructure noise.
Check here a blog post by Moritz Schauer and me illustrating functionalities of our Julia package MicrostructureNoise. The package deals with nonparametric Bayesian volatility learning in presence of market microstructure noise.