Volatility is rough
AdvancedIntradayLFTEmpiricalFree to readTestable with your data
Log-volatility behaves like fractional Brownian motion with a Hurst exponent near 0.1. Rough vol forecasts well and fits the short-dated skew.
At a glance
- Level
- Advanced: Stochastic control, point processes, heavy econometrics or deep learning
- Horizon
- Intraday, LFT
- Data needed
- Intraday bars Set what data you have
- Themes
- Options & volatility
- Assets
- Equities, Options
- Market
- Global