:: Library Catalog

Cover Image

Saved in:

Bibliographic Details
Main Authors:	Coz, Victor Le, Bouchaud, Jean-Philippe
Format:	Preprint
Published:	2024
Subjects:	Statistical Finance
Online Access:	https://arxiv.org/abs/2403.18126
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

The Subtle Interplay between Square-root Impact, Order Imbalance & Volatility: A Unifying Framework
by: Maitrier, Guillaume, et al.
Published: (2025)

Kendall Correlation Coefficients for Portfolio Optimization
by: Espana, Tomas, et al.
Published: (2024)

Holdout cross-validation for large non-Gaussian covariance matrix estimation using Weingarten calculus
by: Lamrani, Lamia, et al.
Published: (2025)

"Microstructure Modes" -- Disentangling the Joint Dynamics of Prices & Order Flow
by: Elomari-Kessab, Salma, et al.
Published: (2024)

Why is the volatility of single stocks so much rougher than that of the S&P500?
by: Zarhali, Othmane, et al.
Published: (2025)

Eigenvector overlaps of sample covariance matrices with intersecting time periods
by: Riabov, Volodymyr, et al.
Published: (2025)

Deep Calibration of Interest Rates Model
by: Alaya, Mohamed Ben, et al.
Published: (2021)

Stylized facts in money markets: an empirical analysis of the eurozone data
by: Coz, Victor Le, et al.
Published: (2024)

A Sinusoidal Hull-White Model for Interest Rate Dynamics: Capturing Long-Term Periodicity in U.S. Treasury Yields
by: Jha, Amit Kumar
Published: (2025)

Revisiting Granular Models of Firm Growth
by: Moran, José, et al.
Published: (2024)

Ultimate Forward Rate Prediction and its Application to Bond Yield Forecasting: A Machine Learning Perspective
by: Du, Jiawei, et al.
Published: (2025)

The Self-Organized Criticality Paradigm in Economics & Finance
by: Bouchaud, Jean-Philippe
Published: (2024)

The Elasticity of Quantitative Investment
by: Davis, Carter
Published: (2023)

Revisiting Cont's Stylized Facts for Modern Stock Markets
by: Ratliff-Crain, Ethan, et al.
Published: (2023)

Mandelbrot, Financial Markets and the Origins of "Econophysics"
by: Bouchaud, Jean-Philippe
Published: (2026)

Unveiling the Impact of Macroeconomic Policies: A Double Machine Learning Approach to Analyzing Interest Rate Effects on Financial Markets
by: Kumar, Anoop, et al.
Published: (2024)

Navigating through Economic Complexity: Phase Diagrams & Parameter Sloppiness
by: Bouchaud, Jean-Philippe
Published: (2024)

Cross-Domain Behavioral Credit Modeling: transferability from private to central data
by: Didkovskyi, O., et al.
Published: (2024)

Reconciling Open Interest with Traded Volume in Perpetual Swaps
by: Giagkiozis, Ioannis, et al.
Published: (2023)

Beyond Trading Data: The Hidden Influence of Public Awareness and Interest on Cryptocurrency Volatility
by: Boukhers, Zeyd, et al.
Published: (2022)

Introduction of L0 norm and application of L1 and C1 norm in the study of time-series
by: Garcia, Victor Ujaldon
Published: (2023)

A Deep Learning Approach for Trading Factor Residuals
by: Long, Wo, et al.
Published: (2024)

Lower Bounds of Uncertainty of Observations of Macroeconomic Variables and Upper Limits on the Accuracy of Their Forecasts
by: Olkhov, Victor
Published: (2024)

Multivariate Quadratic Hawkes Processes -- Part II: Non-Parametric Empirical Calibration
by: Aubrun, Cecilia, et al.
Published: (2025)

The LLM Pro Finance Suite: Multilingual Large Language Models for Financial Applications
by: Caillaut, Gaëtan, et al.
Published: (2025)

Combined Mutiplicative-Heston Model for Stochastic Volatility
by: Moghaddam, M. Dashti, et al.
Published: (2018)

Time-Varying Factor-Augmented Models for Volatility Forecasting
by: Zhang, Duo, et al.
Published: (2025)

Model-Free Deep Hedging with Transaction Costs and Light Data Requirements
by: Brugière, Pierre, et al.
Published: (2025)

From rough to multifractal multidimensional volatility: A multidimensional Log S-fBM model
by: Zarhali, Othmane, et al.
Published: (2026)

CBDC Stress Test in a Dual-Currency Setting
by: Dumitrescu, Catalin
Published: (2025)

Long-Range Dependence in Financial Markets: Empirical Evidence and Generative Modeling Challenges
by: He, Yifan, et al.
Published: (2025)

Consistent Estimation of the High-Dimensional Efficient Frontier
by: Bodnar, Taras, et al.
Published: (2024)

Signal inference in financial stock return correlations through phase-ordering kinetics in the quenched regime
by: Achitouv, Ixandra, et al.
Published: (2024)

Currents Beneath Stability: A Stochastic Framework for Exchange Rate Instability Using Kramers Moyal Expansion
by: Maghsoodlo, Yazdan Babazadeh, et al.
Published: (2025)

A Mean-Reverting Model of Exchange Rate Risk Premium Using Ornstein-Uhlenbeck Dynamics
by: Hwang, SeungJae
Published: (2025)

Market-Based "Actual" Returns of Investors
by: Olkhov, Victor
Published: (2023)

Market-Based Price Autocorrelation
by: Olkhov, Victor
Published: (2022)

Markowitz Variance May Vastly Undervalue or Overestimate Portfolio Variance and Risks
by: Olkhov, Victor
Published: (2025)

Unwitting Markowitz' Simplification of Portfolio Random Returns
by: Olkhov, Victor
Published: (2025)

Market-Based Variance of Market Portfolio and of Entire Market
by: Olkhov, Victor
Published: (2025)