Markov Switching Multifractal model#
Cython code
- sage.finance.markov_multifractal_cython.simulations(n, k, m0, sigma, kbar, gamma)#
Return k simulations of length n using the Markov switching multifractal model.
- INPUT:
n, k – positive integers m0, sigma – floats kbar – integer gamma – list of floats
- OUTPUT:
list of lists
EXAMPLES:
sage: set_random_seed(0) sage: msm = finance.MarkovSwitchingMultifractal(8,1.4,1.0,0.95,3) doctest:warning... DeprecationWarning: the package sage.finance is deprecated... sage: import sage.finance.markov_multifractal_cython sage: sage.finance.markov_multifractal_cython.simulations(5,2,1.278,0.262,8,msm.gamma()) [[0.0014, -0.0023, -0.0028, -0.0030, -0.0019], [0.0020, -0.0020, 0.0034, -0.0010, -0.0004]]