Route de Saclay
Palaiseau, 91128
France
Ecole Polytechnique, Palaiseau
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
High frequency data, volatility smoothness, fractional Brownian motion, fractional Ornstein-Uhlenbeck, long memory, volatility persistence, volatility forecasting, option pricing, volatility surface, Hawkes processes, high frequency trading, order splitting.
High frequency trading, volatility, microstructure, regulation
SPX smiles, VIX smiles, rough Heston model, Zumbach effect, quadratic rough Heston model, Guyon's conjecture
Tick Sizes, MiFID II, Market Microstructure, Transaction Costs, Liquidity, Uncertainty Zones Model
Market microstructure, Tick size, Liquidity, Tokyo Stock Exchange
Cross impact, market impact, multidimensional processes, market microstructure, market efficiency, statistical arbitrag
market microstructure, limit order book, bid-ask spread, adverse selection, financial regulation, tick size, queue position valuation
Microstructure, Market Design, Auctions, Limit Order Book, Continuous Trading, Market Making, Nash Equilibrium, BSDES
No-arbitrage property, market impact, rough volatility, rough Heston model, hyper-rough Heston model, Hawkes processes
Rough Volatility, Fractional Brownian Motion, Implied Volatility, Medvedev-Scaillet Approximation
Zumbach Effect, Rough Heston Model
Make-take fees, market making, financial regulation, high-frequency trading, principal-agent problem, stochastic control
Market microstructure, market design, financial regulation, ad-hoc auctions, periodic auctions, limit order book, Nash equilibrium
Central limit theorem, fractional Brownian motion, Hurst parameter, nonparametric estimation, rough volatility, spot volatility, volatility of volatility
Natural language processing, Transfer learning, BERT, machine learning, Recommendation Systems
Rough volatility, fractional Brownian motion, wavelets, scaling, minimax optimality, pre-averaging, iterated estimation procedure
