Date/Time : 21 Apr 2026 12:00
Venue : S17 #04-06 (Seminar Room 1)
Speaker : Ulrich Horst, Humboldt University, Berlin

We establish a simple microstructure foundation for rough log-normal volatility models such as the rough Bergomi model. Unlike in earlier microstructure model we do not assume that that market orders arrive according to a heavy-tailed Hawkes process. Instead, we assume that orders arrive according to a standard Poisson process but have long lasting impact on asset price volatility. After suitable scaling the logarithmic volatility converges weakly to fractional Brownian motion mit H<1/2. Weak convergence rates are also established. The talk is based on joint work with Paul Hager, Thomas Wagenhofer and Wei Xu.

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