2 papers
q-fin.GN2024
Riding Wavelets: A Method to Discover New Classes of Price Jumps
Cecilia Aubrun, Rudy Morel, Michael Benzaquen +1
Cascades of events and extreme occurrences have garnered significant attention across diverse domains such as financial markets, seismology, and social physics. Such events can ste…
q-fin.MF2023
Path Shadowing Monte-Carlo
Rudy Morel, Stéphane Mallat, Jean-Philippe Bouchaud
We introduce a Path Shadowing Monte-Carlo method, which provides prediction of future paths, given any generative model. At any given date, it averages future quantities over gener…