Volatility Clustering with Merton-Hawkes Jump-Diffusion Simulations in Python
📰 Dev.to · Ayrat Murtazin
Model intraday volatility clustering across stocks, ETFs, and BTC using Merton jump-diffusion enhanced with Hawkes self-exciting processes.
Model intraday volatility clustering across stocks, ETFs, and BTC using Merton jump-diffusion enhanced with Hawkes self-exciting processes.