Deckstar / Multifractal-Model-of-Asset-Returns-MMAR-for-ThesisLinks
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…
☆46Updated 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
Sorting:
- Python tools to quantitatively manage financial risk☆69Updated 5 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- Unsupervised machine learning Principal Component Analysis (PCA) on the Dow Jones Industrial Average index and it's respective 30 stocks …☆74Updated 5 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.☆131Updated 7 years ago
- HAR-RV Model For Realized Volatility☆31Updated 9 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 5 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆115Updated 6 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Updated 4 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Python Financial ENGineering (PyFENG package in PyPI.org)☆173Updated last month
- Code that I show on my YouTube Channel☆103Updated 2 years ago
- Advances in Financial Machine Learning by Marcos Lopez De Prado☆54Updated 6 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆58Updated 2 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- Implementation with a Jupyter Notebook of the VIX index modelization provided in its CBOE white paper.☆22Updated 6 years ago
- Quantamental finance research with python☆153Updated 3 years ago
- ☆15Updated 3 years ago
- Research Repo (Archive)☆75Updated 5 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆32Updated last year
- Backtest asset allocation strategies in Python with only a background in pandas necessary☆48Updated 2 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆37Updated 2 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Multivariate GARCH modelling in Python☆16Updated 11 months ago
- Code for the paper Volatility is (mostly) path-dependent☆70Updated last year
- Stock and Forex market prediction using ML and time-series modelling☆38Updated 6 years ago
- finance☆43Updated 8 years ago
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 8 months ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆119Updated last year