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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,695 papers · 148 categories

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0111 · Dec 202319922001200920172026
2 results for “C-tightness”
Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatilityq-fin.MF

Study shows how heavy-tailed Hawkes processes can model rough volatility in financial markets.

problem Modeling rough volatility in financial markets with heavy-tailed Hawkes processes.
method Established weak convergence of Hawkes process with power-law kernel, derived scaling limit for financial market model.
result Price-volatility process converges weakly to a rough Heston model after rescaling.
Hawkes processesrough volatilityfinancial marketspower-law kernelC-tightness
2023-12-14abs ↗pdf ↗
Microstructural Foundation of Rough Log-Normal Volatility Modelsq-fin.MF

Establishes a microstructural foundation for a rough log-normal volatility model.

problem Developing a robust model for financial volatility under microstructural effects.
method Introduced a sequence of order-driven financial market models with Poisson process arrivals and analyzed their convergence to a log-normal rough volatility model.
result Weak convergence of price-volatility process to a log-normal rough volatility model with established weak error rates.
financial volatilitymicrostructurerough volatilitylog-normalPoisson process
2026-03-13abs ↗pdf ↗