Peng Wu

most citedFrom Rough to Multifractal volatility: the log S-fBM model

12 citations · 23 across the 2 of their papers we have counts for

collaborators

2 papers

q-fin.ST2022★ 12 cited

From Rough to Multifractal volatility: the log S-fBM model

Peng Wu, Jean-François Muzy, Emmanuel Bacry

We introduce a family of random measures $M_{H, T} (d t)$ , namely log S-fBM, such that, for $H > 0$ , $M_{H, T} (d t) = e^{ω_{H, T} (t)} d t$ where $ω_{H, T} (t)$ is a Gaussian process that…

q-fin.TR2019★ 11 cited

Queue-reactive Hawkes models for the order flow

Peng Wu, Marcello Rambaldi, Jean-François Muzy +1

In this work we introduce two variants of multivariate Hawkes models with an explicit dependency on various queue sizes aimed at modeling the stochastic time evolution of a limit o…