README.md

The code allows to calibrate the BGIG distribution introduced in The bilateral generalized inverse Gaussian process with applications to financial modeling by Gaetano AGAZZOTTI and Jean-Philippe AGUILAR. The calibration is achieved with a moment-based method.

Calibration is done on SP500 index from 2021 to 2023.

Installation

A script is available for an easy creation of the conda environment and compilation of auxiliary functions:

$ source install.bash

How to use ?

A toy example can be ran with:

$ python main.py

Results

Here is an example of simulated BGIG trajectories.

The main application is the calibration to SP500 index (see figure below).

Credits

The simulation code for a one-sided GIG distribution was taken from the following repository.

Interesting ?

If you have any questions, feel free to contact us. We will be more than happy to answer ! 😀

If you use it, a reference to the paper would be highly appreciated.

@misc{agazzotti2024bilateralgeneralizedinversegaussian,
      title={The bilateral generalized inverse Gaussian process with applications to financial modeling}, 
      author={Gaetano Agazzotti and Jean-Philippe Aguilar},
      year={2024},
      eprint={2407.10557},
      archivePrefix={arXiv},
      primaryClass={math.PR},
      url={https://arxiv.org/abs/2407.10557}, 
}

Tested on