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stat.AP2026
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…
math.PR2026
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…