English

Fake stationary rough Heston volatility: Microstructure-inspired foundations

Probability 2026-02-12 v1

Abstract

This paper investigates the asymptotic behavior of suitably time-modulated Hawkes processes with heavy-tailed kernels in a nearly unstable regime. We show that, under appropriate scaling, both the intensity processes and the rescaled Hawkes processes converge to a mean-reverting, time-inhomogeneous rough fractional square-root process and its integrated counterpart, respectively. In particular, when the original Hawkes process has a stationary first moment (constant marginal mean), the limiting process takes the form of a time-inhomogeneous rough fractional Cox-Ingersoll-Ross (CIR) equation with a constant mean-reversion parameter and a time-dependent diffusion coefficient. This class of equations is particularly appealing from a practical perspective, especially for the so-called fake stationary rough Heston\textit{fake stationary rough Heston} model. We further investigate the properties of such limiting scaled time-inhomogeneous Volterra equations, including moment bounds, path regularity and maximal inequality in the LpL^p setting for every p>0p>0.

Keywords

Cite

@article{arxiv.2602.11032,
  title  = {Fake stationary rough Heston volatility: Microstructure-inspired foundations},
  author = {Emmanuel Gnabeyeu and Gilles Pagès and Mathieu Rosenbaum},
  journal= {arXiv preprint arXiv:2602.11032},
  year   = {2026}
}

Comments

35 pages

R2 v1 2026-07-01T10:32:10.908Z