From rough to multifractal volatility: the log S-fBm model

DOI10.1016/J.PHYSA.2022.127919MaRDI QIDQ2170609zbMATH OpenOpenAlexFDO

Authors Peng Wu, Emmanuel Bacry, Jean-François Muzy

Publication date 6 September 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2201.09516

zbMATH Keywords

fractional Brownian motionGMM estimationrough volatilitymultifractal volatilityintermittency coefficient

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cites work

• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• Continuous-time skewed multifractal processes as a model for financial returns
• Disentangling and quantifying market participant volatility contributions
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Fractional Brownian motion with Hurst index \({H = 0}\) and the Gaussian unitary ensemble
• Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint
• Gaussian multiplicative chaos and applications: a review
• Log-Modulated Rough Stochastic Volatility Models
• Log-infinitely divisible multifractal processes
• Log-normal continuous cascade model of asset returns: aggregation properties and estimation
• Modelling financial time series using multifractal random walks
• Pricing under rough volatility
• Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
• Stochastic analysis of mixed fractional Gaussian processes
• Volatility has to be rough
• Volatility is rough

Cited in

(7)

• Minimal model of diffusion with time changing Hurst exponent
• TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY?
• Log-Modulated Rough Stochastic Volatility Models
• Multivariate quadratic Hawkes processes—part I: theoretical analysis
• Rough volatility via the Lamperti transform
• Path shadowing Monte Carlo
• On the universality of the volatility formation process: when machine learning and rough volatility agree

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