On the universality of the volatility formation process: when machine learning and rough volatility agree

28 June 2022

Papers citing "On the universality of the volatility formation process: when machine learning and rough volatility agree"

3 / 3 papers shown

Title
Graph-Based Learning for Stock Movement Prediction with Textual and Relational Data Qinkai Chen C. Robert AIFin 69 25 0 22 Jul 2021
A GMM approach to estimate the roughness of stochastic volatility Anine Eg Bolko Kim Christensen Mikko S. Pakkanen Bezirgen Veliyev 38 34 0 09 Oct 2020
Universal features of price formation in financial markets: perspectives from Deep Learning Justin A. Sirignano R. Cont AIFin 67 261 0 19 Mar 2018