Deckstar / Multifractal-Model-of-Asset-Returns-MMAR-for-Thesis
I wrote a Master's in Finance thesis on Monte Carlo simulation of the Multifractal Model of Asset Returns. This is a model developed in the late 1990's by Benoît Mandelbrot and his two students, Laurent Calvet and Adlai Fisher. I had never programmed before and this was my first big coding project — so sorry if the code sucks! I did what I could…
☆45Updated 4 years ago
Alternatives and similar repositories for Multifractal-Model-of-Asset-Returns-MMAR-for-Thesis:
Users that are interested in Multifractal-Model-of-Asset-Returns-MMAR-for-Thesis are comparing it to the libraries listed below
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆69Updated last month
- Code for the paper Volatility is (mostly) path-dependent☆60Updated last year
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆55Updated last year
- Statistical Jump Models in Python, with scikit-learn-style APIs☆68Updated 3 months ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆26Updated 2 months ago
- detecting regime of financial market☆36Updated 2 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆108Updated 6 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆117Updated last year
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Portfolio optimization with cvxopt☆38Updated 3 months ago
- ☆37Updated 2 years ago
- My replication of financial papers.☆19Updated 6 years ago
- Option Pricing, Volatility Prediction, Machine Learning, Black Scholas, Web Crawling☆55Updated 8 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆59Updated 2 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆97Updated 2 years ago
- Optimization techniques on the financial area for the hedging, investment starategies, and risk measures☆42Updated 5 years ago
- A Python implementation of the rough Bergomi model.☆118Updated 6 years ago
- Baruch MFE 2019 Spring☆39Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- Research Repo (Archive)☆73Updated 4 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 5 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆80Updated 2 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- A framework for historical volatility estimation and analysis.☆35Updated 4 years ago
- Code that I show on my YouTube Channel☆98Updated 2 years ago
- Here I am collecting the scripts I have used to prepare my book "Adventures in Financial Data Science" and to support my other writing, s…☆62Updated 3 weeks ago
- A fundamental equity risk model that decomposes the risk of a portfolio by factors and individual securities☆39Updated 7 years ago