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Pointwise Hurst Estimation via Scale Accumulation: A Noise-Robust Approach for Rough Volatility

arXiv:2606.25771v1 Announce Type: cross Abstract: We introduce an estimator for the pointwise, time-varying Hölder exponent (Hurst parameter) of a stochastic process, based on the geometry accumulation integral G_Lambda(t) = integral from Lambda to 1 of |eth_s X(t)| s^{-1} ds, where eth_s X(t) = (X(t+s)-X(t))/s is the scale derivative at resolution s. We prove consistency, noise robustness with explicit threshold Lambda* = sigma^{1/H}, and a CLT at rate (log Lambda)^{-1/2}. The estimator is pointwise in time, defined at finite resolution, and eliminates microstructure noise by scale separation. Existing estimators give a global H from integrated variance; this gives a time-varying H(t) directly from the price path.

Spectral Collapse Under Geometric Alignment of Extreme Events

arXiv:2606.25810v1 Announce Type: new Abstract: Let Q_n = B_n + J_n be the quadratic covariation matrix of a high-dimensional semimartingale, where J_n is the jump component and B_n is the diffusion component. We prove that spectral collapse occurs – meaning the ratio of the leading eigenvalue to the trace converges to 1 and the effective rank converges to 1 – if and only if the jump directions are geometrically aligned in a weighted sense and the background diffusion is asymptotically negligible. The proof separates into two steps: geometric alignment of jump directions forces spectral concentration of J_n; background negligibility then propagates this to the full system. We extend to the stochastic setting and prove convergence in probability under natural conditions on the jump process. The framework gives a scalar diagnostic for detecting when a high-dimensional system is dominated by extreme events.