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From microscopic price dynamics to multidimensional rough volatility models - MaRDI portal

From microscopic price dynamics to multidimensional rough volatility models (Q5022269)

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scientific article; zbMATH DE number 7458569
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English
From microscopic price dynamics to multidimensional rough volatility models
scientific article; zbMATH DE number 7458569

    Statements

    title
    From microscopic price dynamics to multidimensional rough volatility models (English)
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    author
    Mathieu Rosenbaum
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    Mehdi Tomas
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    publication date
    18 January 2022
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    zbMATH Keywords
    rough volatility
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    multidimensional processes
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    microstructure
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    Hawkes processes
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    limit theorems
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    high-dimensional correlation matrices
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    Identifiers

    Mathematics Subject Classification ID
    60F05
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    60F17
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    60G55
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    62P05
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    zbMATH DE Number
    7458569
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    OpenAlex ID
    W3177470872
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    arXiv ID
    1910.13338
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    DOI
    10.1017/APR.2020.60
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