From rough to multifractal volatility: the log S-fBm model
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Publication:2170609
DOI10.1016/J.PHYSA.2022.127919OpenAlexW4221149496MaRDI QIDQ2170609FDOQ2170609
Peng Wu, Jean-François Muzy, Emmanuel Bacry
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
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Cites Work
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- Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint
- Stochastic Analysis of Mixed Fractional Gaussian Processes
- Log-normal continuous cascade model of asset returns: aggregation properties and estimation
- Volatility has to be rough
- Log-Modulated Rough Stochastic Volatility Models
- Disentangling and quantifying market participant volatility contributions
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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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