5 citations · 6 across the 5 of their papers we have counts for
6 papers
Rough Volatility Across Assets
Saad Mouti
We measure volatility roughness across asset classes using a common data infrastructure and pipeline. Our data covers 3,926 United States equities, 34 CME futures roots, rates, FX,…
Least-Cost Structuring of 24/7 Carbon-Free Electricity Procurements
Mike Ludkovski, Saad Mouti, Glen Swindle
We consider the construction of renewable portfolios targeting specified carbon-free (CFE) hourly performance scores. We work in a probabilistic framework that uses a collection of…
Rough volatility: evidence from range volatility estimators
Saad Mouti
In Gatheral et al. 2018, first posted in 2014, volatility is characterized by fractional behavior with a Hurst exponent , challenging traditional views of volatility dynam…
A resampling approach for causal inference on novel two-point time-series with application to identify risk factors for type-2 diabetes and cardiovascular disease
Xiaowu Dai, Saad Mouti, Marjorie Lima do Vale +3
Two-point time-series data, characterized by baseline and follow-up observations, are frequently encountered in health research. We study a novel two-point time series structure wi…
Sustainable Investing and the Cross-Section of Returns and Maximum Drawdown
Lisa R. Goldberg, Saad Mouti
We use supervised learning to identify factors that predict the cross-section of returns and maximum drawdown for stocks in the US equity market. Our data run from January 1970 to…
Rough volatility: evidence from option prices
Giulia Livieri, Saad Mouti, Andrea Pallavicini +1
It has been recently shown that spot volatilities can be very well modeled by rough stochastic volatility type dynamics. In such models, the log-volatility follows a fractional Bro…