From microscopic price dynamics to multidimensional rough volatility models

DOI10.1017/apr.2020.60zbMath1487.60056arXiv1910.13338OpenAlexW3177470872MaRDI QIDQ5022269

Mathieu Rosenbaum, Mehdi Tomas

Publication date: 18 January 2022

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.13338

zbMATH Keywords

microstructurelimit theoremsHawkes processesrough volatilitymultidimensional processeshigh-dimensional correlation matrices

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (4)

Utility Maximization in Multivariate Volterra Models ⋮ How to build a cross-impact model from first principles: theoretical requirements and empirical results ⋮ A characterisation of cross-impact kernels ⋮ High-order methods for the option pricing under multivariate rough volatility models

Uses Software

• mftoolbox

Cites Work

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