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…
☆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
Sorting:
- Python tools to quantitatively manage financial risk☆68Updated 5 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆57Updated last year
- A Python implementation of the rough Bergomi model.☆121Updated 6 years ago
- Implementation with a Jupyter Notebook of the VIX index modelization provided in its CBOE white paper.☆21Updated 6 years ago
- Unsupervised machine learning Principal Component Analysis (PCA) on the Dow Jones Industrial Average index and it's respective 30 stocks …☆73Updated 5 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 3 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆113Updated 6 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- Research Repo (Archive)☆74Updated 4 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Project description: https://medium.com/@tzhangwps/measuring-financial-turbulence-and-systemic-risk-9d9688f6eec1?source=friends_link&sk=1…☆25Updated 5 months ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Get discount factors and zero rates from interest rate swaps☆11Updated 7 years ago
- Code for the paper Volatility is (mostly) path-dependent☆65Updated last year
- Statistical Jump Models in Python, with scikit-learn-style APIs☆80Updated 6 months ago
- Python Financial ENGineering (PyFENG package in PyPI.org)☆165Updated 8 months ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆109Updated 4 months ago
- Backtest asset allocation strategies in Python with only a background in pandas necessary☆48Updated 2 years ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆120Updated last year
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Portfolio optimization with cvxopt☆40Updated 6 months ago
- Repository for teachings on Quant Finance☆50Updated 5 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆87Updated 4 months ago
- ☆73Updated 3 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆27Updated 4 years ago
- We are hard pressed to find a concrete implementation of both Benoit Mandelbrot's "A Multifractal Model of Asset Returns" and Edgar E. Pe…☆55Updated 2 years ago
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆144Updated 2 years ago
- Replication of Time Series Momentum strategy by Moskowtiz, Ooi, Pedersen, 2011.☆67Updated 2 months ago