Statistical modelling across price and time scales: a quantitative approach to modern financial regulation

Project Information

STAQAMOF

Grant agreement ID: 679836

DOI

10.3030/679836

Project closed

EC signature date 15 December 2015

Start date 1 October 2016

End date 30 September 2021

Funded under

• EXCELLENT SCIENCE - European Research Council (ERC)

Total cost

€ 1 165 625,00

EU contribution

€ 1 165 625,00

Coordinated by

ECOLE POLYTECHNIQUE
France

CORDIS provides links to public deliverables and publications of HORIZON projects.

Links to deliverables and publications from FP7 projects, as well as links to some specific result types such as dataset and software, are dynamically retrieved from OpenAIRE .

Publications

Peer reviewed articles (18)

Optimal Make-Take Fees in a Multi Market-Maker Environment

Author(s): Bastien Baldacci, Dylan Possamaï, Mathieu Rosenbaum
Published in: SIAM Journal on Financial Mathematics, Issue 12/1, 2021, Page(s) 446-486, ISSN 1945-497X
Publisher: Society for Industrial and Applied Mathematics Publications
DOI: 10.1137/19m1277412

Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework

Author(s): Weibing Huang, Mathieu Rosenbaum
Published in: SIAM Journal on Financial Mathematics, Issue 8/1, 2017, Page(s) 874-900, ISSN 1945-497X
Publisher: Society for Industrial and Applied Mathematics Publications
DOI: 10.1137/16m1064337

Roughening Heston

Author(s): Omar EL Euch, Jim Gatheral, Mathieu Rosenbaum
Published in: Risk Magazine, 2019, ISSN 0952-8776
Publisher: Infopro

From microscopic price dynamics to multidimensional rough volatility models

Author(s): Mathieu Rosenbaum and Mehdi Tomas
Published in: Advances in Applied Probability, 2021, ISSN 0001-8678
Publisher: Applied Probability Trust

A note on Almgren-Chriss optimal execution problem with geometric Brownian motion

Author(s): Bastien Baldacci, Jerome Benveniste
Published in: Market Microstructure and Liquidity, 2021, ISSN 2382-6266
Publisher: World Scientific
DOI: 10.1142/s2382626620500057

No‐arbitrage implies power‐law market impact and rough volatility

Author(s): Paul Jusselin, Mathieu Rosenbaum
Published in: Mathematical Finance, Issue 30/4, 2020, Page(s) 1309-1336, ISSN 0960-1627
Publisher: Blackwell Publishing Inc.
DOI: 10.1111/mafi.12254

Optimal auction duration: A price formation viewpoint

Author(s): Paul Jusselin, Thibaut Mastrolia and Mathieu Rosenbaum
Published in: Operations Research, 2021, ISSN 0030-364X
Publisher: Institute for Operations Research and the Management Sciences

Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale

Author(s): Mark Podolskij, Mathieu Rosenbaum
Published in: Journal of Financial Econometrics, 2017, ISSN 1479-8409
Publisher: Oxford University Press
DOI: 10.1093/jjfinec/nbx036

The microstructural foundations of leverage effect and rough volatility

Author(s): Omar El Euch, Masaaki Fukasawa, Mathieu Rosenbaum
Published in: Finance and Stochastics, Issue 22/2, 2018, Page(s) 241-280, ISSN 0949-2984
Publisher: Springer Verlag
DOI: 10.1007/s00780-018-0360-z

The Behavior of High-Frequency Traders Under Different Market Stress Scenarios

Author(s): Nicolas Megarbane, Pamela Saliba, Charles-Albert Lehalle, Mathieu Rosenbaum
Published in: Market Microstructure and Liquidity, 2018, Page(s) 1850005, ISSN 2382-6266
Publisher: World Scientific
DOI: 10.1142/S2382626618500053

Volatility is rough

Author(s): Jim Gatheral, Thibault Jaisson, Mathieu Rosenbaum
Published in: Quantitative Finance, Issue 18/6, 2017, Page(s) 933-949, ISSN 1469-7688
Publisher: Institute of Physics Publishing
DOI: 10.1080/14697688.2017.1393551

The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem

Author(s): Gatheral, Jim; Jusselin, Paul; Rosenbaum, Mathieu
Published in: Risk Magazine, Issue 10, 2020, ISSN 0952-8776
Publisher: Infopro

Optimal liquidity based trading tactics

Author(s): Charles-Albert Lehalle, Othmane Mounjid and Mathieu Rosenbaum
Published in: Stochastic Systems, 2021, ISSN 1946-5238
Publisher: Informs

An approximate solution for options market-making in high dimension

Author(s): Baldacci, Bastien; Derchu, Joffrey; Manziuk, Iuliia
Published in: Risk Magazine, Issue 1, 2021, ISSN 0952-8776
Publisher: Infopro

Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models

Author(s): Blanka Horvath, Aitor Muguruza, Mehdi Tomas
Published in: Quantitative Finance, Issue 21/1, 2021, Page(s) 11-27, ISSN 1469-7688
Publisher: Institute of Physics Publishing
DOI: 10.1080/14697688.2020.1817974

Optimal make–take fees for market making regulation

Author(s): Omar El Euch, Thibaut Mastrolia, Mathieu Rosenbaum, Nizar Touzi
Published in: Mathematical Finance, Issue 31/1, 2021, Page(s) 109-148, ISSN 0960-1627
Publisher: Blackwell Publishing Inc.
DOI: 10.1111/mafi.12295

From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect

Author(s): Aditi Dandapani, Paul Jusselin, Mathieu Rosenbaum
Published in: Quantitative Finance, 2021, Page(s) 1-13, ISSN 1469-7688
Publisher: Institute of Physics Publishing
DOI: 10.1080/14697688.2020.1841906

Assessing MiFID II Regulation on Tick Sizes: A Transaction Costs Analysis Viewpoint

Author(s): Sophie Laruelle, Mathieu Rosenbaum, Emel Savku
Published in: Market Microstructure and Liquidity, 2019, ISSN 2382-6266
Publisher: World Scientific

Non-peer reviewed articles (1)

Algorithmic market making for options

Author(s): Bastien Baldacci, Philippe Bergault, Olivier Guéant
Published in: Quantitative Finance, Issue 21/1, 2021, Page(s) 85-97, ISSN 1469-7688
Publisher: Institute of Physics Publishing
DOI: 10.1080/14697688.2020.1766099