No‐arbitrage implies power‐law market impact and rough volatility
From MaRDI portal
Publication:5855958
DOI10.1111/mafi.12254MaRDI QIDQ5855958
Mathieu Rosenbaum, Paul Jusselin
Publication date: 23 March 2021
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1805.07134
Hawkes processes; market impact; rough Heston model; rough volatility; no-arbitrage property; hyper-rough Heston model
60H30: Applications of stochastic analysis (to PDEs, etc.)
60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)
91G15: Financial markets