3 papers
q-fin.ST2026
From rough to multifractal multidimensional volatility: A multidimensional Log S-fBM model
Othmane Zarhali, Emmanuel Bacry, Jean-François Muzy
We introduce the multivariate Log S-fBM model (mLog S-fBM), extending the univariate framework proposed by Wu \textit{et al.} to the multidimensional setting. We define the multidi…
q-fin.ST2026
A Nested Factor Model for Equity Markets: Reconciling Multifractal Stock Returns and Rough Index Volatilities
Othmane Zarhali, Cecilia Aubrun, Emmanuel Bacry +2
The Nested factor model was introduced by Chicheportiche et al. to represent non-linear correlations between stocks. Stock returns are explained by a standard factor model, but the…
q-fin.MF2026
Fast simulation of Volterra processes using random Fourier features with application to the log-stationary fractional Brownian motion
Othmane Zarhali, Nicolas Langrené
A fast simulation framework for stochastic Volterra processes based on Random Fourier Features (RFF) approximation of the kernel is developed. After recalling the main properties o…