A nested factor model for non-linear dependencies in stock returns

Rémy Chicheportiche (1) , J-P Bouchaud (2)

1 FiQuant - Chaire de finance quantitative
2 SPEC - UMR3680 - Service de physique de l'état condensé

Domaines: Finance quantitative [q-fin.CP]; Econométrie de la finance [q-fin.ST]; Gestion de portefeuilles [q-fin.PM]

Rémy Chicheportiche, J-P Bouchaud. A nested factor model for non-linear dependencies in stock returns. Quantitative Finance, 2015, 15 (11), pp.1789-1804. ⟨10.1080/14697688.2014.994668⟩. ⟨hal-01339978⟩