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q-fin.MF2024
Market information of the fractional stochastic regularity model
Daniele Angelini, Matthieu Garcin
The Fractional Stochastic Regularity Model (FSRM) is an extension of Black-Scholes model describing the multifractal nature of prices. It is based on a multifractional process with…
q-fin.MF2021
Forecasting with fractional Brownian motion: a financial perspective
Matthieu Garcin
The fractional Brownian motion (fBm) extends the standard Brownian motion by introducing some dependence between non-overlapping increments. Consequently, if one considers for exam…