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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.ST2024
Estimation of bid-ask spreads in the presence of serial dependence
Xavier Brouty, Matthieu Garcin, Hugo Roccaro
Starting from a basic model in which the dynamic of the transaction prices is a geometric Brownian motion disrupted by a microstructure white noise, corresponding to the random alt…