Microstructural Foundation for the Rough Hawkes–Heston Model

By Yingli Wang, Yinhao Wu, Lingjiong Zhu

Published 2026-08-11

Everscope rating

1919.4

Relevance to quantitative trading

8 / 10

Implementation complexity

9 / 10

Reproducibility

3 / 5

About this paper

Methodology: Poisson-embedded marked Hawkes order-flow model with near-critical scaling limit. Problem types: Stochastic Volatility Modeling, Option Pricing, Risk Management, Market Microstructure, Scaling Limit Theory, Volterra Equation Analysis.

arXiv:2608.07709 · Paper rankings

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