A randomized Kolmogorov-Smirnov estimator for the Hurst exponent applied to VIX implied volatility and S&P 500 realized volatility finds both rougher than Brownian motion with a statistically significant smoothness hierarchy.
Title resolution pending
2 Pith papers cite this work. Polarity classification is still indexing.
2
Pith papers citing it
years
2025 2verdicts
UNVERDICTED 2representative citing papers
Single-qubit quantum circuit learning reproduces key statistical signatures of asymmetric volatility from Rational GARCH synthetic data.
citing papers explorer
-
Randomized Kolmogorov-Smirnov Analysis of Volatility Roughness
A randomized Kolmogorov-Smirnov estimator for the Hurst exponent applied to VIX implied volatility and S&P 500 realized volatility finds both rougher than Brownian motion with a statistically significant smoothness hierarchy.
-
Volatility time series modeling by single-qubit quantum circuit learning
Single-qubit quantum circuit learning reproduces key statistical signatures of asymmetric volatility from Rational GARCH synthetic data.