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

Publikacje

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

Autorzy: Bastien Baldacci, Dylan Possamaï, Mathieu Rosenbaum
Opublikowane w: SIAM Journal on Financial Mathematics, Numer 12/1, 2021, Strona(/y) 446-486, ISSN 1945-497X
Wydawca: Society for Industrial and Applied Mathematics Publications
DOI: 10.1137/19m1277412

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

Autorzy: Weibing Huang, Mathieu Rosenbaum
Opublikowane w: SIAM Journal on Financial Mathematics, Numer 8/1, 2017, Strona(/y) 874-900, ISSN 1945-497X
Wydawca: Society for Industrial and Applied Mathematics Publications
DOI: 10.1137/16m1064337

Roughening Heston

Autorzy: Omar EL Euch, Jim Gatheral, Mathieu Rosenbaum
Opublikowane w: Risk Magazine, 2019, ISSN 0952-8776
Wydawca: Infopro

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

Autorzy: Bastien Baldacci, Jerome Benveniste
Opublikowane w: Market Microstructure and Liquidity, 2021, ISSN 2382-6266
Wydawca: World Scientific
DOI: 10.1142/s2382626620500057

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

Autorzy: Paul Jusselin, Mathieu Rosenbaum
Opublikowane w: Mathematical Finance, Numer 30/4, 2020, Strona(/y) 1309-1336, ISSN 0960-1627
Wydawca: Blackwell Publishing Inc.
DOI: 10.1111/mafi.12254

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

Autorzy: Mark Podolskij, Mathieu Rosenbaum
Opublikowane w: Journal of Financial Econometrics, 2017, ISSN 1479-8409
Wydawca: Oxford University Press
DOI: 10.1093/jjfinec/nbx036

The microstructural foundations of leverage effect and rough volatility

Autorzy: Omar El Euch, Masaaki Fukasawa, Mathieu Rosenbaum
Opublikowane w: Finance and Stochastics, Numer 22/2, 2018, Strona(/y) 241-280, ISSN 0949-2984
Wydawca: Springer Verlag
DOI: 10.1007/s00780-018-0360-z

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

Autorzy: Nicolas Megarbane, Pamela Saliba, Charles-Albert Lehalle, Mathieu Rosenbaum
Opublikowane w: Market Microstructure and Liquidity, 2018, Strona(/y) 1850005, ISSN 2382-6266
Wydawca: World Scientific
DOI: 10.1142/S2382626618500053

Volatility is rough

Autorzy: Jim Gatheral, Thibault Jaisson, Mathieu Rosenbaum
Opublikowane w: Quantitative Finance, Numer 18/6, 2017, Strona(/y) 933-949, ISSN 1469-7688
Wydawca: 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

Autorzy: Gatheral, Jim; Jusselin, Paul; Rosenbaum, Mathieu
Opublikowane w: Risk Magazine, Numer 10, 2020, ISSN 0952-8776
Wydawca: Infopro

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

Autorzy: Blanka Horvath, Aitor Muguruza, Mehdi Tomas
Opublikowane w: Quantitative Finance, Numer 21/1, 2021, Strona(/y) 11-27, ISSN 1469-7688
Wydawca: Institute of Physics Publishing
DOI: 10.1080/14697688.2020.1817974

Optimal make–take fees for market making regulation

Autorzy: Omar El Euch, Thibaut Mastrolia, Mathieu Rosenbaum, Nizar Touzi
Opublikowane w: Mathematical Finance, Numer 31/1, 2021, Strona(/y) 109-148, ISSN 0960-1627
Wydawca: Blackwell Publishing Inc.
DOI: 10.1111/mafi.12295

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

Autorzy: Aditi Dandapani, Paul Jusselin, Mathieu Rosenbaum
Opublikowane w: Quantitative Finance, 2021, Strona(/y) 1-13, ISSN 1469-7688
Wydawca: Institute of Physics Publishing
DOI: 10.1080/14697688.2020.1841906

Algorithmic market making for options

Autorzy: Bastien Baldacci, Philippe Bergault, Olivier Guéant
Opublikowane w: Quantitative Finance, Numer 21/1, 2021, Strona(/y) 85-97, ISSN 1469-7688
Wydawca: Institute of Physics Publishing
DOI: 10.1080/14697688.2020.1766099

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