2 citations · 2 across the 1 of their papers we have counts for
2 papers
q-fin.MF2026★ 2 cited
Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility
Ulrich Horst, Wei Xu, Rouyi Zhang
We establish the weak convergence of the intensity of a nearly-unstable Hawkes process with heavy-tailed kernel. Our result is used to derive a scaling limit for a financial market…
math.PR2024
Path-dependent Fractional Volterra Equations and the Microstructure of Rough Volatility Models driven by Poisson Random Measures
Ulrich Horst, Wei Xu, Rouyi Zhang
We consider a microstructure foundation for rough volatility models driven by Poisson random measures. In our model the volatility is driven by self-exciting arrivals of market ord…