fractvol – Fractal Volatility Signatures
Detect hidden market regimes using multifractal scaling and Hurst dynamics.
fractvol brings advanced physics-based time series analysis to finance.
import fractvol as fv
import yfinance as yf
data = yf.download("SPY")['Close'].pct_change().dropna()
# Rolling fractal analysis
hursts = fv.rolling_hurst(data, window=100)
# Detect regime shifts
sigs = [fv.fractal_signature(data[i:i+200]) for i in range(0, len(data)-200, 50)]
regimes = fv.detect_regime_change(sigs)
# Predict volatility spikes
risk_score = fv.predict_volatility_spark(data)
# Visualize
fv.plot_multifractal(data[-150:])
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Release files for fractvol 0.1.0
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Total release size: 11.2 kB
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| Tags | Python 3 |
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