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Rough Volatility dataset and benchmarks · SOTA2 Research

Research Datasets

Rough Volatility

Benchmarks

Task NameDataset NameSOTA MethodSort

Task NameDataset NameSOTA ResultTrendResults

Rough Volatility modeling

Rough Volatility terminal-marginal results

0.022Mean RMSE

15

Time Series Generation

Rough Volatility high-frequency synthetic (test)

0.011Discriminative

4

Time Series Reconstruction

Rough Volatility high-frequency synthetic (test)

0.5Discriminative Score

2

Popular tasks

Time-series generation Time Series Reconstruction Rough Volatility modeling

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