Hi there—one of the authors of MQTransformer here. Feel free to send us an email and we can help you with this! (Our emails should be on the paper—if you cant find it, let us know here and we’ll add it)
malliavin
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- malliavin 13 Aug 2022 19:42 UTC4 points0in reply to: Fer32dwt34r3dfsz’s comment on: Paper reading as a Cargo Cult
Looking forward to it!
There’s no difference in the actual model (or its architecture) - but we realized that the “trades” (this can be made more precise if you’d like) MQT would be a martingale against encompass a large class of volatility definitions, so we gave an example of a novel volatility measure (or a trade) that isn’t the classical definition and showed MQT works well against it (Theorem 8.1 and Eqn 14).