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Fractional Calculus & Rough Volatility in Quant Finance: Long-Memory Dynamics, Memory Kernels, and Alpha Signal Design

Fractional Calculus & Rough Volatility in Quant Finance: Long-Memory Dynamics, Memory Kernels, and Alpha Signal Design

Paperback

Investing & FinanceProgramming

Currently unavailable to order

ISBN13: 9798248956708
Publisher: Independently Published
Published: Feb 19 2026
Pages: 400
Weight: 1.17
Height: 0.82 Width: 6.00 Depth: 9.00
Language: English
Reactive Publishing

Markets exhibit persistence. Volatility clusters. Order flow remembers. Classical stochastic models often assume away these structural memory effects. This book confronts that assumption directly.

Fractional Calculus & Rough Volatility in Quant Finance presents a rigorous yet applied framework for modeling long-memory dynamics in financial time series. It bridges fractional calculus, memory kernels, rough path theory, and modern alpha construction into a unified quantitative architecture.

Also from

Munrow, Danny

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Investing & Finance