From rough to multifractal multidimensional volatility: A multidimensional Log S-fBM model

By Othmane Zarhali, Emmanuel Bacry, Jean-François Muzy

Published 2026-06-25

Everscope rating

1936.1

Relevance to quantitative trading

8 / 10

Implementation complexity

8 / 10

Reproducibility

3 / 5

About this paper

Methodology: Multidimensional Log Stationary Fractional Brownian Motion (mLog S-fBM) with GMM Calibration. Problem types: Time Series Forecasting, Risk Management, Portfolio Optimization, Density Estimation.

arXiv:2601.10517 · Paper rankings

Open the interactive Everscope explorer for full analysis, charts, and paper battles.