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s-leroux / fin

Set of tools for personal investment
MIT License
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Implement several volatility estimators #14

Open s-leroux opened 1 year ago

s-leroux commented 1 year ago

Implement (in Cython) several volatility estimators:

Currently, we only have the Python implementation of the close-to-close volatility:

https://github.com/s-leroux/fin/blob/78913aa0820239ea5d4d7ccbc37ccecc176a4e61/fin/seq/algo.py#L188-L212