sim Module

Functions

animate_heatmap(data)	Visualize an evolving series of matrices over time.
garch_11(n, sigma_sq_0, mu, alpha, beta, omega)	Generate GARCH(1, 1) log-returns of size n.
simple(size, corr_matrix, spec, liquidity, gamma)	Generate a simple p-dimensional GARCH(1,1) log-price process with microstructure noise and non-synchronous observation times.

Classes

Universe(feature_beta, factor_garch_spec, …)

The universe is a specification from which simulated realizations can be sampled.