Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: The Microstructure of Stochastic Volatility Models with Self-Exciting
  Jump Dynamics   We provide a general probabilistic framework within which we establish
scaling limits for a class of continuous-time stochastic volatility models with
self-exciting jump dynamics. In the scaling limit, the joint dynamics of asset
returns and volatility is driven by independent Gaussian white noises and two
independent Poisson random measures that capture the arrival of exogenous
shocks and the arrival of self-excited shocks, respectively. Various
well-studied stochastic volatility models with and without self-exciting
price/volatility co-jumps are obtained as special cases under different scaling
regimes. We analyze the impact of external shocks on the market dynamics,
especially their impact on jump cascades and show in a mathematically rigorous
manner that many small external shocks may tigger endogenous jump cascades in
asset returns and stock price volatility.

20
The categories of this paper are: acc-phys
2
The categories of this paper are: math
10
The categories of this paper are: q-bio
4
The categories of this paper are: cond-mat
23
The categories of this paper are: solv-int
3
The categories of this paper are: physics
6
The categories of this paper are: astro-ph
26
The categories of this paper are: bayes-an
22
The categories of this paper are: chao-dyn
8
The categories of this paper are: hep-ex
0
The categories of this paper are: hep-ph
35
The categories of this paper are: mtrl-th
5
The categories of this paper are: gr-qc
19
The categories of this paper are: eess
29
The categories of this paper are: funct-an
16
The categories of this paper are: stat