On options-driven realized volatility forecasting: Information gains via rough volatility model

By Zheqi Fan, Meng Melody Wang, Yifan Ye

Published 2026-04-10

Everscope rating

1686.3

Relevance to quantitative trading

8 / 10

Implementation complexity

9 / 10

Reproducibility

3 / 5

About this paper

Methodology: Parametric inference with deep learning surrogate for rough volatility model calibration and HAR augmentation. Problem types: Time Series Forecasting, Risk Management, Regression, Optimization.

arXiv:2604.02743 · Paper rankings

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