most citedConvergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility

2 citations · 2 across the 1 of their papers we have counts for

collaborators
Showing math.PRShow all

1 paper · 1 filter

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…