加载中…
We introduce a Hawkes-like process and study its scaling limit as the system becomes increasingly endogenous. We derive functional limit theorems for intensity and fluctuations. Then, we introduce a high-frequency model for a price of a liquid traded financial instrument in which the nearly unstable regime leads to a Heston-type process where the negative correlation between the noise driving the proce of the instrument and the volatility can be viewed as a result of high variance of the sell-side order arrivals.

生成讲解博客的中文版本

生成AI智能校验的中文版本