Python implementation of the Markov-Switching Multifractal model (MSM) of Calvet & Fisher (2004, 2008).
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Updated
Apr 18, 2021 - Python
Python implementation of the Markov-Switching Multifractal model (MSM) of Calvet & Fisher (2004, 2008).
A variation of the Binomial Model to create series with scaling and multifractal properties.
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