Paris
France
Route de Saclay
Palaiseau, 91128
Université PSL
Ecole Polytechnique, Palaiseau
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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
A unified theory of order flow, market impact, and volatility
Trading Volume, Order Flow, Core Order Flow, Rough Volatility, Market Impact, Long Memory, Market Microstructure, Hawkes Processes, Mixed Fractional Brownian Motion, Limit Theorems, Criticality
transfer learning, risk, stock prediction, portfolio optimization
Cross impact, market impact, multidimensional processes, market microstructure, market efficiency, statistical arbitrag
No-arbitrage property, market impact, rough volatility, rough Heston model, hyper-rough Heston model, Hawkes processes
Machine learning, LSTM, rough volatility, quadratic rough Heston, Zumbach effect, cryptocurrencies, Bitcoin
market microstructure, limit order book, bid-ask spread, adverse selection, financial regulation, tick size, queue position valuation
Market microstructure, Tick size, Liquidity, Tokyo Stock Exchange
Microstructure, Market Design, Auctions, Limit Order Book, Continuous Trading, Market Making, Nash Equilibrium, BSDES
Rough Volatility, Fractional Brownian Motion, Implied Volatility, Medvedev-Scaillet Approximation
Zumbach Effect, Rough Heston Model
Market microstructure, market design, financial regulation, ad-hoc auctions, periodic auctions, limit order book, Nash equilibrium
Make-take fees, market making, financial regulation, high-frequency trading, principal-agent problem, stochastic control
Primary 62G15, 62G20, 62M09, secondary 60F05, 62P20 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
Hawkes Processes, Scaling Limits, Limit Theorems, Skorokhod Topology, Fractional Stochastic Differential Equations, Fourier-Laplace Transforms, Mittag-Leffler Functions, Regularity Mathematics Subject Classification (2020): 33E12, 45D05, 60G17, 60G22, 60G55, 91G80
Affine Volterra Processes, Stochastic Differential Equations, Fractional Calculus, Functional Integral Equation, Fourier-Laplace Transforms, Dini Theorem, Limit Theorems Mathematics Subject Classification (2020): 45D05, 60G10, 60H10, 60G22, 91B24, 91B70, 91G80
