Mathieu Rosenbaum

Ecole Polytechnique, Palaiseau

Route de Saclay

Palaiseau, 91128

France

SCHOLARLY PAPERS

16

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4,595

SSRN CITATIONS
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Top 16,498

in Total Papers Citations

31

CROSSREF CITATIONS

31

Scholarly Papers (16)

1.

Volatility Is Rough

Quantitative Finance, Vol. 18, No. 6, 933-949, 2018.
Number of pages: 50 Posted: 15 Oct 2014 Last Revised: 25 May 2018
Jim Gatheral, Thibault Jaisson and Mathieu Rosenbaum
CUNY Baruch College, Ecole Polytechnique, Paris and Ecole Polytechnique, Palaiseau
Downloads 1,844 (9,607)
Citation 31

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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.

2.

Roughening Heston

Risk, pp. 84-89, May 2019.
Number of pages: 12 Posted: 14 Feb 2018 Last Revised: 12 Jun 2019
Omar El Euch, Jim Gatheral and Mathieu Rosenbaum
Ecole Polytechnique, Paris, CUNY Baruch College and Ecole Polytechnique, Palaiseau
Downloads 1,008 (24,449)
Citation 6

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3.

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

Number of pages: 58 Posted: 22 Aug 2017
Autorité des Marchés Financiers, Autorité des Marchés Financiers, Capital Fund Management and Ecole Polytechnique, Palaiseau
Downloads 556 (54,744)
Citation 5

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High frequency trading, volatility, microstructure, regulation

4.

How to Predict the Consequences of a Tick Value Change? Evidence from the Tokyo Stock Exchange Pilot Program

Number of pages: 15 Posted: 27 Jul 2015 Last Revised: 28 Jul 2015
Weibing Huang, Charles-Albert Lehalle and Mathieu Rosenbaum
Université Paris VI Pierre et Marie Curie - Laboratoire de Probabilités et Modèles Aléatoires (LPMA), Capital Fund Management and Ecole Polytechnique, Palaiseau
Downloads 254 (134,947)
Citation 5

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Market microstructure, Tick size, Liquidity, Tokyo Stock Exchange

5.

Assessing MiFID 2 Regulation on Tick Sizes: A Transaction Costs Analysis Viewpoint

Number of pages: 21 Posted: 21 Oct 2018
Sophie Laruelle, Mathieu Rosenbaum and Emel Savku
Université Paris Est Créteil - Laboratoire d'Analyse et de Mathématiques Appliquées, Ecole Polytechnique, Palaiseau and Ecole Polytechnique CMAP
Downloads 149 (219,167)
Citation 3

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Tick Sizes, MiFID II, Market Microstructure, Transaction Costs, Liquidity, Uncertainty Zones Model

6.

Short-Term at-the-Money Asymptotics Under Stochastic Volatility Models

SIAM Journal on Financial Mathematics, Vol. 10, No. 2, 491-511, 2019
Number of pages: 20 Posted: 05 Feb 2018 Last Revised: 12 Jun 2019
Omar El Euch, Masaaki Fukasawa, Jim Gatheral and Mathieu Rosenbaum
Ecole Polytechnique, Paris, Osaka University, CUNY Baruch College and Ecole Polytechnique, Palaiseau
Downloads 145 (224,062)
Citation 2

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7.

From Glosten-Milgrom to the Whole Limit Order Book and Applications to Financial Regulation

Number of pages: 26 Posted: 21 Mar 2019
Weibing Huang, Mathieu Rosenbaum and Pamela Saliba
Université Paris VI Pierre et Marie Curie - Laboratoire de Probabilités et Modèles Aléatoires (LPMA), Ecole Polytechnique, Palaiseau and Autorité des Marchés Financiers
Downloads 128 (247,231)

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market microstructure, limit order book, bid-ask spread, adverse selection, financial regulation, tick size, queue position valuation

No-Arbitrage Implies Power-Law Market Impact and Rough Volatility

Number of pages: 35 Posted: 06 Jun 2018
Paul Jusselin and Mathieu Rosenbaum
Ecole Polytechnique, Palaiseau and Ecole Polytechnique, Palaiseau
Downloads 119 (262,285)
Citation 4

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No-arbitrage property, market impact, rough volatility, rough Heston model, hyper-rough Heston model, Hawkes processes

No‐Arbitrage Implies Power‐Law Market Impact and Rough Volatility

Mathematical Finance, Vol. 30, Issue 4, pp. 1309-1336, 2020
Number of pages: 28 Posted: 07 Oct 2020
Paul Jusselin and Mathieu Rosenbaum
Ecole Polytechnique, Palaiseau and Ecole Polytechnique, Palaiseau
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Hawkes processes, hyper‐rough Heston model, market impact, no‐arbitrage property, rough Heston model, rough volatility

9.

Rough Volatility: Evidence from Option Prices

Number of pages: 18 Posted: 10 Feb 2017
Giulia Livieri, Saad Mouti, Andrea Pallavicini and Mathieu Rosenbaum
Scuola Normale Superiore, Université Paris VI Pierre et Marie Curie, Banca IMI and Ecole Polytechnique, Palaiseau
Downloads 114 (269,250)
Citation 2

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Rough Volatility, Fractional Brownian Motion, Implied Volatility, Medvedev-Scaillet Approximation

10.

The Quadratic Rough Heston Model and the Joint S&P 500/VIX Smile Calibration Problem

Number of pages: 11 Posted: 31 Jan 2020
Jim Gatheral, Paul Jusselin and Mathieu Rosenbaum
CUNY Baruch College, Ecole Polytechnique, Palaiseau and Ecole Polytechnique, Palaiseau
Downloads 85 (326,779)

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SPX smiles, VIX smiles, rough Heston model, Zumbach effect, quadratic rough Heston model, Guyon's conjecture

11.

Optimal Auction Duration: A Price Formation Viewpoint

Number of pages: 42 Posted: 28 Jun 2019
Paul Jusselin, Thibaut Mastrolia and Mathieu Rosenbaum
Ecole Polytechnique, Palaiseau, Ecole Polytechnique, Palaiseau - CMAP CNRS-UMR 7641 and Ecole Polytechnique and Ecole Polytechnique, Palaiseau
Downloads 81 (336,456)

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Microstructure, Market Design, Auctions, Limit Order Book, Continuous Trading, Market Making, Nash Equilibrium, BSDES

12.

Optimal Make-Take Fees for Market Making Regulation

Number of pages: 42 Posted: 22 May 2018 Last Revised: 27 Nov 2019
Omar El Euch, Thibaut Mastrolia, Mathieu Rosenbaum and Nizar Touzi
Ecole Polytechnique, Paris, Ecole Polytechnique, Palaiseau - CMAP CNRS-UMR 7641 and Ecole Polytechnique, Ecole Polytechnique, Palaiseau and Ecole Polytechnique, Paris
Downloads 68 (371,223)
Citation 1

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Make-take fees, market making, financial regulation, high-frequency trading, principal-agent problem, stochastic control

13.

The Zumbach Effect Under Rough Heston

Quantitative Finance, Vol. 20, No. 2, 235-241, 2020.
Number of pages: 14 Posted: 24 Sep 2018 Last Revised: 09 Jan 2020
Omar El Euch, Jim Gatheral, Rados Radoicic and Mathieu Rosenbaum
Ecole Polytechnique, Paris, CUNY Baruch College, CUNY Baruch College and Ecole Polytechnique, Palaiseau
Downloads 36 (488,362)
Citation 2

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Zumbach Effect, Rough Heston Model

14.

AHEAD : Ad-Hoc Electronic Auction Design

Number of pages: 50
Ecole Polytechnique, Palaiseau - CMAP CNRS-UMR 7641 and Ecole Polytechnique, affiliation not provided to SSRN, Ecole Polytechnique, Palaiseau - CMAP CNRS-UMR 7641 and Ecole Polytechnique and Ecole Polytechnique, Palaiseau
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Market microstructure, market design, financial regulation, ad-hoc auctions, periodic auctions, limit order book, Nash equilibrium.

15.

Volatility and Covariation Estimation When Microstructure Noise and Trading Times are Endogenous

Mathematical Finance, Vol. 22, Issue 1, pp. 133-164, 2012
Number of pages: 32 Posted: 21 Jan 2012
Christian Yann Robert and Mathieu Rosenbaum
affiliation not provided to SSRN and Ecole Polytechnique, Palaiseau
Downloads 3 (698,944)
Citation 1
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microstructure noise, ultra high‐frequency data, volatility, covariation, endogenous trading times, asynchronous data, stopping times, martingales

16.

The Characteristic Function of Rough Heston Models

Mathematical Finance, Vol. 29, Issue 1, pp. 3-38, 2019
Number of pages: 36 Posted: 11 Jan 2019
Omar El Euch and Mathieu Rosenbaum
Ecole Polytechnique, Paris and Ecole Polytechnique, Palaiseau
Downloads 1 (721,206)
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fractional Brownian motion, fractional Riccati equation, Hawkes processes, limit theorems, rough Heston models, rough volatility models