Lusenn is a startup company.
Its main goal is to propose original tools that can capture the multiscale properties of financial time series. Indeed, it has been recognized that such time series (stochastic volatilities for instance) are non-Markovian and possess persistent or anti-persistent properties.
Lusenn proposes to introduce models that capture such multiscale properties. These models are based on multifractional processes. Lusenn has developed methods to jointly estimate and calibrate the parameters of these processes. As a result Lusenn is able to propose solutions for market activity monitoring, pricing, and hedging, when the market becomes rough.
For more information: visit Lusenn website.