Author

Alexandre Alouadi

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Preprint Jul 2026

The Fundamental Structure of Risk: From Characteristics to Covariance

Estimating the covariance structure of financial assets typically relies on historical returns, making risk models dependent on noisy and asset-specific time series. We propose the Characteristic-Driven Dynamic Factor Model (CD-DFM), a non-linear latent factor model that instead constructs a representation of the asset...

Alexandre Alouadi, Charles-Albert Lehalle · 0 citations

Preprint Aug 2026

Deep-MKV-TS: Path-Dependent McKean--Vlasov Control for Financial Time Series Generation

We introduce Deep-MKV-TS, a path-dependent McKean-Vlasov framework for financial scenario generation. The stochastic dynamics are chosen by matching selected path and volatility features of generated scenarios to those observed in the data. Starting from an interpretable reference model, Deep-MKV-TS preserves the refer...

Samer Boustany, Théo Basseras, Samy Mekkaoui et al. · 0 citations