From microscopic price dynamics to multidimensional rough volatility models (Q5022269)
From MaRDI portal
scientific article; zbMATH DE number 7458569
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | From microscopic price dynamics to multidimensional rough volatility models |
scientific article; zbMATH DE number 7458569 |
Statements
From microscopic price dynamics to multidimensional rough volatility models (English)
0 references
18 January 2022
0 references
rough volatility
0 references
multidimensional processes
0 references
microstructure
0 references
Hawkes processes
0 references
limit theorems
0 references
high-dimensional correlation matrices
0 references
0 references
0 references
