Feel free to use my code & data. GitHub: wol-fi
Feel free to use my code & data. GitHub: wol-fi
option-implied Hurst exponent
Of the S&P 500 index (daily), based on my work "Hurst Exponent as Implied by Option Data"
An improved and simplified package for MF-DFA analysis, including significance testing, surrogate algorithms (IAAFT, IAAWT) and simulation of multifractal series.
Method for fitting the option implied volatility surface via the Stochastic Volatility Inspired (SVI) equation, computing the risk-neutral density distribution (RND), and risk-neutral moments (skewness, kurtosis, etc.). Details can be found in my working paper.
Spectral Projected Gradient method with Inexact Restoration: An algorithm for large-scale nonlinear optimization problems with nonconvex constraints. We apply the algorithm here to solve the "nearest option-implied correlation matrix problem".
Iterated Amplitude Adjusted Wavelet Transform for Python. We're using it in this paper to transform the heavy-tailed distribution of daily returns to a normal distribution while keeping the structure of volatility clustering.
Method for fitting the option implied volatility surface via the Stochastic Volatility Inspired (SVI) equation. Details can be found in my working paper.