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  1. Multi-Timescale Recurrent Neural Networks Beat Rough Volatility for Intraday Volatility Prediction

    Article • Risks, May 2024, MDPI AG

    Professor Damien Challet

  2. The Sharpe ratio can be precisely computed from the total drawdown duration

    Article • Applied Mathematical Finance, January 2017, Taylor & Francis

    Professor Damien Challet