---
title: FIVAR-Ito Model for High-Frequency Data
url: https://www.ml-quant.com/papers/ssrn/4537927/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4537927
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4537927
featured: 2023-08-17
citations: unknown
topic: Trading, Microstructure & Execution
---


# FIVAR-Ito Model for High-Frequency Data

The article introduces the FIVARIto model, a new Ito diffusion process for predicting large volatility matrices and portfolio allocation.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4537927
- Identifier: SSRN 4537927
- Released: 2021-09-13
- First featured: Quant Letter No. 12 (2023-08-17): https://www.ml-quant.com/issues/2023-08-17/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Trading, Microstructure & Execution

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