4 papers
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…
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…
KANFormer for Predicting Fill Probabilities via Survival Analysis in Limit Order Books
Jinfeng Zhong, Emmanuel Bacry, Agathe Guilloux +1
This paper introduces KANFormer, a novel deep-learning-based model for predicting the time-to-fill of limit orders by leveraging both market- and agent-level information. KANFormer…
No Tick-Size Too Small: A General Method for Modelling Small Tick Limit Order Books
Konark Jain, Jean-François Muzy, Jonathan Kochems +1
Tick-sizes not only influence the granularity of the price formation process but also affect market agents' behavior. We investigate the disparity in the microstructural properties…