Cécilia Aubrun

Multivariate quadratic Hawkes processes—part II: non-parametric empirical calibration

This is the second part of our work on Multivariate Quadratic Hawkes (MQHawkes) Processes, devoted to the calibration of the model defined and studied analytically in Aubrun, C., Benzaquen, M., & Bouchaud, J. P., Quantitative Finance, 23(5), 741-758 (2023). We propose a non-param...

A nested factor model for equity markets: reconciling multifractal stock returns and rough index volatilities

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 (log)-volatilities of factors and residuals are themselves decomposed into factor modes, with a com...