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)
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]]