5 citations · 6 across the 5 of their papers we have counts for
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q-fin.ST2023
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…
q-fin.ST2019★ 5 cited
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…
q-fin.ST2017
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…