4 papers
Rainfall is rough
Thomas Deschatre, Marc Hoffmann, Mathieu Rosenbaum
We propose a new approach to model rainfall by combining heterogeneous data sources at different time scales. Continuous arrivals of rain cells are incorporated into a Hawkes proce…
Fake stationary rough Heston volatility: Microstructure-inspired foundations
Emmanuel Gnabeyeu, Gilles Pagès, Mathieu Rosenbaum
This paper investigates the asymptotic behavior of suitably time-modulated Hawkes processes with heavy-tailed kernels in a nearly unstable regime. We show that, under appropriate s…
On Inhomogeneous Affine Volterra Processes: Stationarity and Applications to the Volterra Heston Model
Emmanuel Gnabeyeu, Gilles Pagès, Mathieu Rosenbaum
True Volterra equations are inherently non stationary and therefore do not admit over finite horizons. This motivates the study of the finite-…
Forecasting Volatility with Machine Learning and Rough Volatility: Example from the Crypto-Winter
Siu Hin Tang, Mathieu Rosenbaum, Chao Zhou
We extend the application and test the performance of a recently introduced volatility prediction framework encompassing LSTM and rough volatility. Our asset class of interest is c…