We have the pleasure, thanks to the support of the ESSEC IDS dpt, Institut des Actuaires, LabEx MME-DII, and the group BFA (SFdS), to invite:
Ecole Polytechnique Paris
Chair Analytics and Models for Regulation
Date and place: Wednesday, December 18, at 12:30 pm, EEE - ESSEC La Défense room 202
“ From quadratic Hawkes processes to rough volatility and Zumbach effect ”
It is now well-accepted in quantitative finance that volatility is rough. We show in this talk that this universal phenomenon can be explained through a suitable modeling of market microstructure with Hawkes processes. These processes enable us to encode accurately the stylized facts of high frequency financial markets and lead in the long run to a rough behavior of the volatility. We particularly focus on quadratic Hawkes processes in order to be also able to explain the time reversal asymmetry, often called Zumbach effect, observed on financial time series.
The talk is based on joint work with A. Dandapani and P. Jusselin.
Jeremy Heng, Olga Klopp and Marie Kratz