TL;DR: Volatility isn’t just path-dependent — it responds quadratically to past trends across multiple assets.
Hey, great read as always. This truely highlights the flaws. What's the biggest hurdle for wider adoption of these models? Always so insightful.
Main hurdle is data and calibration. MQHawkes need high frequency cleaned cross asset feeds, robust real time nonparametric calibration, and integrated risk controls to be stable in production.
Thanks
Hey, great read as always. This truely highlights the flaws. What's the biggest hurdle for wider adoption of these models? Always so insightful.
Main hurdle is data and calibration. MQHawkes need high frequency cleaned cross asset feeds, robust real time nonparametric calibration, and integrated risk controls to be stable in production.
Thanks