mfdata

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areenve / fractal-vol-forecast

Multifractal volatility forecasting pipeline inspired by Benoit Mandelbrot’s work on financial fractals. Builds HAR-style baseline targets from CRSP S&P 500 constituent returns, then adds MF-DFA–based multifractality features (e.g., ΔH).

python science data r mandelbrot multifractal sp500 quant-finance mfdata

Updated Dec 20, 2025
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