/Ornstein_Uhlenbeck_Model

A log likelihood process for optimal entry / exit / stopping.

Primary LanguageJupyter Notebook

Ornstein_Uhlenbeck_Model

Divided into three sections:

  • Estimate the Ornstein Uhlenbeck parameters with log likelihood
  • Apply the parameters to solve the optimal Stopping problem,
  • Plot the parameters for the final results and analysis.

Jupyter notebook