Hölder exponent estimation on historic realized volatility data
0.0175RMSESigMA
Evaluation results
| Method | Links | ||
|---|---|---|---|
| SigMA#Params=872262025.12 | 0.0175 | 0.0003 | |
| Transformer#Params=5739062025.12 | 0.0205 | 0.0003 | |
| DeepSigNet#Params=92612025.12 | 0.0348 | 0.0006 | |
| LSTM#Params=18296342025.12 | 0.0366 | 0.001 | |
| CNN#Params=2550732025.12 | 0.0697 | 0.0025 |