From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect

Using microscopic price models based on Hawkes processes, it has been shown that under some no-arbitrage condition, the high degree of endogeneity of markets together with the phenomenon of metaorders splitting generate rough Heston-type volatility at the macroscopic scale. One additional important...

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Bibliographische Detailangaben

Hauptverfasser:	Dandapani, Aditi, Jusselin, Paul, Rosenbaum, Mathieu
Format:	Artikel
Sprache:	eng
Schlagworte:	Quantitative Finance - Statistical Finance Quantitative Finance - Trading and Microstructure
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