Fake stationary rough Heston volatility: Microstructure-inspired foundations

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, timeinhomogeneous 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 model. We further investigate the properties of such limiting scaled time-inhomogeneous Volterra equations, including moment bounds, path regularity and maximal inequality in the L p setting for every $p>0$.