Implements Path Shadowing Monte-Carlo [1], which can be used for volatility prediction and option pricing.

This methods averages future quantities over generated price paths (grey) whose past history matches, or `shadows', the actual observed history (red).

Prediction / Option pricing

The class PathShadowing from path_shadowing.py implements a scan of a generated dataset for shadowing paths.

Notebook tutorial.ipynb shows how to use it.

Generation

The paper uses the Scattering Spectra [2] to generate the dataset of time-series.

[1] "Path Shadowing Monte-Carlo"

Rudy Morel et al. - https://arxiv.org/abs/2308.01486

[2] "Scale Dependencies and Self-Similar Models with Wavelet Scattering Spectra"

Rudy Morel et al. - https://arxiv.org/abs/2204.10177