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

arXiv2312.08784MaRDI QIDQ6463546FDOQ6463546

Authors: Ulrich Horst, Wei Xu, Rouyi Zhang 

Publication date: 14 December 2023

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22)

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