No‐arbitrage implies power‐law market impact and rough volatility (Q5855958)
From MaRDI portal
scientific article; zbMATH DE number 7326785
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | No‐arbitrage implies power‐law market impact and rough volatility |
scientific article; zbMATH DE number 7326785 |
Statements
No‐arbitrage implies power‐law market impact and rough volatility (English)
0 references
23 March 2021
0 references
Hawkes processes
0 references
hyper-rough Heston model
0 references
market impact
0 references
no-arbitrage property
0 references
rough Heston model
0 references
rough volatility
0 references
