{"id":"W4414691951","doi":"10.1137/25m1750767","title":"On the Rate of Convergence of Estimating the Hurst Parameter of Rough Stochastic Volatility Models","year":2025,"lang":"en","type":"article","venue":"SIAM Journal on Financial Mathematics","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":0,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Waterloo","funders":"Natural Sciences and Engineering Research Council of Canada","keywords":"Hurst exponent; Fractional Brownian motion; Estimator; Stochastic volatility; Rate of convergence; Volatility (finance); Stochastic process; Estimation theory; Weak convergence","routes":{"ca_aff":true,"ca_fund":true,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.001170253,0.0001541239,0.0005360754,0.0001174651,0.0001878931,0.00001971475,0.0005173631,0.00008146979,0.00003106803],"category_scores_gemma":[0.003039001,0.000104622,0.0001907573,0.0004819153,0.000215061,0.0000756127,0.0000590071,0.0003084999,0.000008312922],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00003678946,"about_ca_system_score_gemma":0.0001137982,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.00001822518,"about_ca_topic_score_gemma":0.000002225201,"domain_scores_codex":[0.9982818,0.00001448408,0.001267464,0.0001651018,0.00008772538,0.0001833713],"domain_scores_gemma":[0.9966203,0.001207496,0.001510835,0.000439417,0.00019375,0.00002822037],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.00003473945,0.0002016296,0.00003108977,0.0001323163,0.00002709766,2.027198e-7,0.0006549937,0.0115862,0.00001963684,0.9867736,0.0001130382,0.0004254557],"study_design_scores_gemma":[0.0001664838,0.000108456,0.0004829527,0.0002694866,0.00001805696,0.000001607757,0.00005378656,0.211305,0.0001796335,0.7873274,0.00001824684,0.00006887715],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.1343038,0.0002406663,0.8627844,0.0006140739,0.0002917118,0.0003034755,0.00008680255,0.000004699507,0.001370337],"genre_scores_gemma":[0.9924943,0.00001465743,0.007206393,0.00015463,0.00004344912,0.0000273819,6.871196e-7,0.00001074718,0.0000477173],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.8581906,"threshold_uncertainty_score":0.4266362,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.04127098804727503,"score_gpt":0.2518456845313011,"score_spread":0.210574696484026,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}