GitHub topics: multifractal-model
Illiminati/MScFE_Capstone
This repository contains the code and research paper for our capstone project in the MSc in Financial Engineering program at WorldQuant University. The project investigates the pricing accuracy and trading efficiency of the Black-Scholes-Merton (BSM) and Multifractal Model of Asset Returns (MMAR) applied to SPX options.
Language: Python - Size: 1010 MB - Last synced at: 3 months ago - Pushed at: 3 months ago - Stars: 0 - Forks: 1
johncollinsai/markov-switching-multifractal
Python implementation of the Markov-Switching Multifractal model (MSM) of Calvet & Fisher (2004, 2008).
Language: Python - Size: 6.89 MB - Last synced at: about 1 year ago - Pushed at: about 4 years ago - Stars: 26 - Forks: 9
antonietamg/Simple_AB_Model_py
A variation of the Binomial Model to create series with scaling and multifractal properties.
Language: Jupyter Notebook - Size: 13.7 KB - Last synced at: about 2 years ago - Pushed at: over 3 years ago - Stars: 0 - Forks: 0
