multifractal_model

This is a financial statistic project. The aim is to implement some volatilities modelisation, more especially multi fractal volatilities - called also markov switching model.

1. What it does ?

It uses a brew template (template.brew) - latex which embeds R commands- to generates a pdf report which contains :

• ARMA examples

2. Run it !

The command has to be launch from the repository : R -f script.r. Or from R : source("script.r");main_report("./")

Why from the repository ?

• it creates various directories and filled it with PDF (lots of).

You might need :

• to install R, and some R packages
  • to install R packages, launch R, then type install.packages("packagename")
• to install latex (and eventualy texinfo)

The report is saved in : generated_report.pdf

Best, Marouane