A nested factor model for equity markets: reconciling multifractal stock returns and rough index volatilities

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BibTeX

@article{zarhali2026nested,
  title = {{A nested factor model for equity markets: reconciling multifractal stock returns and rough index volatilities}},
  author = {Othmane Zarhali and Cecilia Aubrun and Emmanuel Bacry and Jean-Philippe Bouchaud and Jean-François Muzy},
  journal = {Quantitative Finance},
  year = {2026},
  month = sep,
  doi = {10.1080/14697688.2026.2710832},
  eprint = {2505.02678},
  archivePrefix = {arXiv},
  url = {https://hal.science/hal-05760416v1},
}

RIS

TY  - JOUR
TI  - A nested factor model for equity markets: reconciling multifractal stock returns and rough index volatilities
AU  - Othmane Zarhali
AU  - Cecilia Aubrun
AU  - Emmanuel Bacry
AU  - Jean-Philippe Bouchaud
AU  - Jean-François Muzy
PY  - 2026
DA  - 2026/09/04
JO  - Quantitative Finance
DO  - 10.1080/14697688.2026.2710832
UR  - https://hal.science/hal-05760416v1
SN  - 1469-7688
SN  - 1469-7696
ER  -

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