A Nested Factor Model for Equity Markets: Reconciling Multifractal Stock Returns and Rough Index Volatilities

arXiv:2505.02678 · q-fin.ST · Submitted 2025-05-05 · Read on arXiv

q-fin.ST

Submitted: 2025-05-05

Updated: 2026-10-29

Terminology

• Consistency — 1× in this paper · explained in 3 episodes
• Theoretical Guarantees — 1× in this paper · explained in 2 episodes

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