Computing the SSR

By Peter K. Friz, Jim Gatheral

Published 2024-06-25

Everscope rating

1611.8

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Analytical derivation and numerical computation. Problem types: Time Series Forecasting, Volatility Modeling.

arXiv:2406.16131 · Paper rankings

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