Kullback-Leibler Barycentre of Stochastic Processes

By Sebastian Jaimungal, Silvana M. Pesenti

Published 2024-07-05

Everscope rating

1737.5

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Kullback-Leibler Barycentre. Problem types: Model Combination, Stochastic Process Modeling, Implied Volatility Modeling.

arXiv:2407.04860 · Paper rankings

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