Paul Jusselin

Ecole Polytechnique, Palaiseau

Palaiseau

France

Ecole Polytechnique, Paris - Centre De Mathématiques Appliquées (CMAP), Students

Phd Candidate

France

SCHOLARLY PAPERS

4

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Top 14,656

in Total Papers Downloads

6,260

SSRN CITATIONS
Rank 33,114

SSRN RANKINGS

Top 33,114

in Total Papers Citations

22

CROSSREF CITATIONS

9

Scholarly Papers (4)

1.

Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies

Number of pages: 102 Posted: 09 Oct 2017
Ecole Polytechnique, Paris - Centre De Mathématiques Appliquées (CMAP), StudentsEcole Polytechnique, Palaiseau, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and affiliation not provided to SSRN
Downloads 5,456 (2,906)
Citation 8

Abstract:

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Momentum risk premium, trend-following strategy, cross-section momentum, time-series momentum, alternative risk premium, market anomaly, diversification, correlation, payoff, trading impact, hedging, skewness, Gaussian quadratic forms, Kalman filter, EWMA

2.

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, Paul Jusselin and Mathieu Rosenbaum
CUNY Baruch College, Ecole Polytechnique, Paris - Centre De Mathématiques Appliquées (CMAP), StudentsEcole Polytechnique, Palaiseau and Ecole Polytechnique, Palaiseau
Downloads 385 (142,297)

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

3.

Optimal Auction Duration: A Price Formation Viewpoint

Number of pages: 42 Posted: 28 Jun 2019
Paul Jusselin, Paul Jusselin, Thibaut Mastrolia and Mathieu Rosenbaum
Ecole Polytechnique, Paris - Centre De Mathématiques Appliquées (CMAP), StudentsEcole Polytechnique, Palaiseau, Ecole Polytechnique, Palaiseau - CMAP CNRS-UMR 7641 and Ecole Polytechnique and Ecole Polytechnique, Palaiseau
Downloads 212 (262,684)
Citation 1

Abstract:

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

4.

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

Number of pages: 35 Posted: 06 Jun 2018
Paul Jusselin, Paul Jusselin and Mathieu Rosenbaum
Ecole Polytechnique, Paris - Centre De Mathématiques Appliquées (CMAP), StudentsEcole Polytechnique, Palaiseau and Ecole Polytechnique, Palaiseau
Downloads 207 (268,555)
Citation 9

Abstract:

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