Paul Jusselin

Ecole Polytechnique, Palaiseau

Palaiseau

France

  • Ecole Polytechnique, Palaiseau

SCHOLARLY PAPERS

4

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5

Scholarly Papers (4)

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1.

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

Number of pages: 102 Posted: 09 Oct 2017
Paul Jusselin, Edmond Lezmi, Hassan Malongo, Côme Masselin, Thierry Roncalli and Tung-Lam Dao
Ecole Polytechnique, Palaiseau, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Capital Fund Management
Downloads 2,015 (7,477)
Citation 5

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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.

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 101 (272,818)
Citation 2

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

3.

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 56 (382,125)

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

4.

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 34 (465,229)

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