Mathieu Rosenbaum

Ecole Polytechnique, Palaiseau

Route de Saclay

Palaiseau, 91128

France

SCHOLARLY PAPERS

14

DOWNLOADS
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3,633

CITATIONS

1

Scholarly Papers (14)

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 1,734 (8,937)

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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 674 (36,829)

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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 451 (61,735)

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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 251 (119,467)

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Market microstructure, Tick size, Liquidity, Tokyo Stock Exchange

5.

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 110 (243,701)

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6.

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 105 (251,836)

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

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 80 (299,457)

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

8.

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 78 (303,959)

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

9.

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 76 (308,669)

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

10.

Optimal Make-Take Fees for Market Making Regulation

Number of pages: 35 Posted: 22 May 2018
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 46 (394,585)

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

11.

The Zumbach Effect Under Rough Heston

Number of pages: 14 Posted: 24 Sep 2018
Omar El Euch, Jim Gatheral, Rados Radoicic and Mathieu Rosenbaum
Ecole Polytechnique, Paris, CUNY Baruch College, CUNY Baruch College and Ecole Polytechnique, Palaiseau
Downloads 21 (505,975)

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Zumbach Effect, Rough Heston Model

12.

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 (615,301)
Citation 1
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microstructure noise, ultra high‐frequency data, volatility, covariation, endogenous trading times, asynchronous data, stopping times, martingales

13.

Optimal auction duration: a price formation viewpoint

Number of pages: 42
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 3

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Microstructure, Market design, Auctions, Limit order book, Continuous trading, Market Making, Nash equilibrium, BSDES

14.

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 (637,336)
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fractional Brownian motion, fractional Riccati equation, Hawkes processes, limit theorems, rough Heston models, rough volatility models