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).
The class PathShadowing from path_shadowing.py implements a multi-processed scan of a generated dataset for shadowing paths.
Notebook tutorial.ipynb shows how to use it.
The paper uses the Scattering Spectra [2] to generate the dataset of time-series.
Such generative model is implemented by the package scatspectra:
pip install git+https://github.com/RudyMorel/scattering_spectra[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