Ioanid Rosu

HEC Paris - Finance Department

1 rue de la Liberation

Jouy-en-Josas Cedex, 78351

France

SCHOLARLY PAPERS

10

DOWNLOADS
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Top 6,808

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6,406

CITATIONS
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SSRN RANKINGS

Top 4,706

in Total Papers Citations

116

Scholarly Papers (10)

1.

A Dynamic Model of the Limit Order Book

Review of Financial Studies, Vol. 22, pp. 4601-4641, 2009
Number of pages: 40 Posted: 02 May 2005 Last Revised: 13 Mar 2013
Ioanid Rosu
HEC Paris - Finance Department
Downloads 1,448 (12,066)
Citation 77

Abstract:

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Liquidity, waiting costs, price impact, order driven market, price overshooting, fleeting orders

2.

News Trading and Speed

Journal of Finance, Vol. 71, pp. 335-382, 2016, HEC Paris Research Paper No. 975/2013
Number of pages: 55 Posted: 14 Dec 2012 Last Revised: 19 Jan 2016
Thierry Foucault, Johan Hombert and Ioanid Rosu
HEC Paris - Finance Department, HEC Paris - Finance Department and HEC Paris - Finance Department
Downloads 1,219 (15,829)
Citation 82

Abstract:

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News, liquidity, volume, price discovery, high frequency trading

3.

Fast and Slow Informed Trading

AFA 2013 San Diego Meetings, Paris December 2015 Finance Meeting EUROFIDAI - AFFI, HEC Paris Research Paper No. FIN-2015-1123
Number of pages: 64 Posted: 07 Jun 2011 Last Revised: 28 Feb 2019
Ioanid Rosu
HEC Paris - Finance Department
Downloads 1,168 (16,881)
Citation 18

Abstract:

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Trading volume, inventory, volatility, high frequency trading, price impact, mean reversion

4.

Liquidity and Information in Limit Order Markets

Number of pages: 63 Posted: 19 Oct 2008 Last Revised: 28 Feb 2019
Ioanid Rosu
HEC Paris - Finance Department
Downloads 871 (26,050)
Citation 22

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Limit order book, volatility, trading volume, slippage, informed trading, stochastic game

5.

On the Derivation of the Black-Scholes Formula

Seminaire de Probabilites, Vol. 37, pp. 399-414, 2004
Number of pages: 12 Posted: 02 May 2005
Ioanid Rosu and Daniel W. Stroock
HEC Paris - Finance Department and Massachusetts Institute of Technology (MIT) - Department of Mathematics
Downloads 635 (40,117)
Citation 1

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option pricing, bond replication, self-financing strategy

6.

Cash Mergers and the Volatility Smile

AFA 2010 Atlanta Meetings Paper, HEC Paris Research Paper No. FIN-2017-1213
Number of pages: 58 Posted: 20 Mar 2009 Last Revised: 13 Apr 2019
University of Chicago Graduate School of Business, Baruch College, City University of New York, Department of Economics and Finance and HEC Paris - Finance Department
Downloads 490 (56,040)
Citation 2

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Mergers and Acquisitions, Black--Scholes Formula, Success Probability, Fallback Price, Markov Chain Monte Carlo

7.

Weather and Time Series Determinants of Liquidity in a Limit Order Market

AFA 2009 San Francisco Meetings Paper
Number of pages: 37 Posted: 25 Mar 2008 Last Revised: 13 Mar 2013
Juhani T. Linnainmaa and Ioanid Rosu
Dartmouth College - Tuck School of Business and HEC Paris - Finance Department
Downloads 426 (66,576)
Citation 4

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Market microstructure, price impact, instrumental variables

8.

Quoting Activity and the Cost of Capital

HEC Paris Research Paper No. FIN-2017-1232, 31st Australasian Finance and Banking Conference 2018
Number of pages: 53 Posted: 24 Jul 2017 Last Revised: 21 Dec 2018
Ioanid Rosu, Elvira Sojli and Wing Wah Tham
HEC Paris - Finance Department, UNSW Business School, School of Banking and Finance and University of New South Wales (UNSW)
Downloads 106 (251,521)

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Quote-to-trade ratio, market making, liquidity, price discovery, monitoring, information acquisition, neglected stocks, inventory, high frequency trading

9.

Evolution of Shares in a Proof-of-Stake Cryptocurrency

HEC Paris Research Paper No. FIN-2019-1339
Number of pages: 15 Posted: 20 May 2019 Last Revised: 02 Jul 2019
Ioanid Rosu and Fahad Saleh
HEC Paris - Finance Department and McGill University - Desautels Faculty of Management
Downloads 27 (476,133)
Citation 1

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blockchain, cryptocurrency, asset allocation, martingale, Polya urn, Dirichlet distribution

10.

Dynamic Adverse Selection and Liquidity

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 35 Posted: 04 Jun 2018 Last Revised: 24 Jan 2019
Ioanid Rosu
HEC Paris - Finance Department
Downloads 16 (538,037)

Abstract:

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Learning, Stationary Distribution