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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,695 papers · 148 categories

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0111 · Jul 202519922001200920172026
1 result for “codifference”
Prediction of linear fractional stable motions using codifference, with application to non-Gaussian rough volatilitystat.ME

Method predicts LFSM increments from past observations using codifference.

problem Forecasting LFSM increments from discrete-time observations.
method Uses codifference for serial dependence, with conditional expectation or projection for α>1α>1 or α<2α<2.
result Method shows promising performance in forecasting volatilities, capturing kurtosis and serial dependence.
linear fractional stable motioncodifferenceforecastingvolatilityfractional processes
2025-07-21abs ↗pdf ↗