A multifractal model of asset returns, inspired by the 1997 paper by Mandelbrot, Fisher, Calvet.
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Mar 31, 2021 - Rust
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hurst-parameter
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Fractional Brownian Motion crate for Rust. An attempt to keep parity with the Python fpm module.
rust hurst-parameter fractional-gaussian-noise fractional-brownian-motion multifractional-brownian-motion multifractional-gaussian-noise
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Updated
Oct 19, 2020 - Rust
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