Cover Image

Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Horst, Ulrich, Xu, Wei, Zhang, Rouyi
Format:	Preprint
Published:	2023
Subjects:	Mathematical Finance Probability Primary 60G55, 60G22, secondary 60F05
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Path-dependent Fractional Volterra Equations and the Microstructure of Rough Volatility Models driven by Poisson Random Measures
by: Horst, Ulrich, et al.
Published: (2024)

Microstructural Foundation of Rough Log-Normal Volatility Models
by: Hager, Paul P., et al.
Published: (2026)

Functional Limit Theorems for Hawkes Processes
by: Horst, Ulrich, et al.
Published: (2024)

Scaling Limits of Bivariate Nearly-Unstable Hawkes Processes and Applications to Rough Volatility
by: Karmi, Sohaib El
Published: (2026)

Mean-Field Limits for Nearly Unstable Hawkes Processes
by: Szymanski, Grégoire, et al.
Published: (2025)

Stochastic Volterra Equations for the Local Times of Spectrally Positive Stable Processes
by: Xu, Wei
Published: (2021)

Records in the Infinite Occupancy Scheme
by: Derbazi, Zakaria, et al.
Published: (2023)

Limit theorems for anisotropic functionals of stationary Gaussian fields with Gneiting covariance function
by: Leonenko, Nikolai, et al.
Published: (2026)

Stochastic Volterra Equations for Local Times of Spectrally Positive Lévy Processes with Gaussian Components
by: Xu, Wei
Published: (2024)

Study of discrete-time Hawkes process and its compensator
by: Sarma, Utpal Jyoti Deba, et al.
Published: (2024)

Asymptotics for Exponential Functionals of Random Walks
by: Xu, Wei
Published: (2022)

Scaling Limit Theorems for Multivariate Hawkes Processes and Stochastic Volterra Equations with Measure Kernel
by: Xu, Wei
Published: (2024)

Second-Order Regular Variation and Second-Order Approximation of Hawkes Processes
by: Horst, Ulrich, et al.
Published: (2023)

A stochastic volatility approximation for a tick-by-tick price model with mean-field interaction
by: Pra, Paolo Dai, et al.
Published: (2025)

Asymmetric super-Heston-rough volatility model with Zumbach effect as scaling limit of quadratic Hawkes processes
by: Chudasama, Priyanka, et al.
Published: (2025)

Stein's method, Gaussian processes and Palm measures, with applications to queueing
by: Barbour, A. D., et al.
Published: (2021)

Loop pruning and downward deviations for maximum local time of discrete-time simple random walks
by: Li, Xinyi, et al.
Published: (2026)

Ranges of Extremal Processes and Heavy-Tailed Random Walks in Spaces of Growing Dimension
by: Jin, Bochen, et al.
Published: (2025)

Maxima of stationary systems of randomly time-changed Lévy particles
by: Scheffel, Ioan
Published: (2026)

A Poisson representation of the positive sojourn time of Lévy processes
by: Pitters, Helmut H.
Published: (2025)

Asymptotic Analysis of Discrete-Time Hawkes Process
by: Sarma, Utpal Jyoti Deba, et al.
Published: (2026)

Box-Covariances of Hyperuniform Point Processes
by: Jalowy, Jonas, et al.
Published: (2025)

Random walks in Weyl chambers
by: Denisov, Denis, et al.
Published: (2025)

The multivariate fractional Ornstein-Uhlenbeck process
by: Dugo, Ranieri, et al.
Published: (2024)

A generalized central limit theorem for critical marked Hawkes processes
by: Talarczyk, Anna
Published: (2025)

Lipschitz cutset for fractal graphs and applications to the spread of infections
by: Drewitz, Alexander, et al.
Published: (2023)

Stationary entrance chains and applications to random walks
by: Mijatovic, Aleksandar, et al.
Published: (2024)

Tempered Fractional Hawkes Process and Its Generalization
by: Gupta, Neha, et al.
Published: (2024)

Limit theorems for first passage times of multivariate perpetuity sequences
by: Mentemeier, Sebastian, et al.
Published: (2023)

Convergence of nonhomogeneous Hawkes processes and Feller random measures
by: Pace, Tristan, et al.
Published: (2024)

Non-central limit theorem for non-linear functionals of vector valued Gaussian stationary random fields
by: Major, Peter
Published: (2019)

Stochastic wave equation with additive fractional noise: solvability and global Hölder continuity
by: Liu, Shuhui, et al.
Published: (2023)

Multi-dimensional fractional Brownian motion in the G-setting
by: Biagini, Francesca, et al.
Published: (2023)

Central Limit Theorems for Local Functionals of Dynamic Point Processes
by: Onaran, Efe, et al.
Published: (2023)

Ordered random walks and the Airy line ensemble
by: Denisov, Denis, et al.
Published: (2024)

A unified theory of order flow, market impact, and volatility
by: Muhle-Karbe, Johannes, et al.
Published: (2026)

Generalized Counting Process with Random Drift and Different Brownian Clocks
by: Khandakar, Mostafizar, et al.
Published: (2025)

Ties, Tails and Spectra: On Rank-Based Dependency Measures in High Dimensions
by: Dörnemann, Nina, et al.
Published: (2025)

Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions
by: Alòs, Elisa, et al.
Published: (2025)

Hawkes process with tempered Mittag-Leffler kernel
by: Gupta, Neha, et al.
Published: (2024)