Ioanid Rosu

HEC Paris - Finance Department

1 rue de la Liberation

Jouy-en-Josas Cedex, 78351

France

  • HEC Paris - Finance Department

SCHOLARLY PAPERS

10

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7,058

SSRN CITATIONS
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Top 6,076

in Total Papers Citations

67

CROSSREF CITATIONS

141

Scholarly Papers (10)

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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 1,543 (13,187)
Citation 8

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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 1,305 (17,105)
Citation 70

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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 1,231 (18,650)
Citation 20

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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: 31 Oct 2019
Ioanid Rosu
HEC Paris - Finance Department
Downloads 926 (28,416)
Citation 34

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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 639 (47,243)

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option pricing, bond replication, self-financing strategy

6.

Option Prices and the Probability of Success of Cash Mergers

AFA 2010 Atlanta Meetings Paper, HEC Paris Research Paper No. FIN-2017-1213
Number of pages: 55 Posted: 20 Mar 2009 Last Revised: 18 Nov 2020
Alan Bester, Victor Hugo Martinez and Ioanid Rosu
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 543 (58,133)
Citation 6

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Mergers and acquisitions, Black and Scholes formula, success probability, fallback price, Markov Chain Monte Carlo, implied volatility curve, volatility smile

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 440 (75,360)
Citation 10

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Market microstructure, price impact, instrumental variables

8.

Evolution of Shares in a Proof-of-Stake Cryptocurrency

Management Science, Forthcoming, HEC Paris Research Paper No. FIN-2019-1339
Number of pages: 31 Posted: 20 May 2019 Last Revised: 17 Oct 2020
Ioanid Rosu and Fahad Saleh
HEC Paris - Finance Department and Wake Forest University - Schools of Business
Downloads 200 (175,037)
Citation 9

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

9.

Quoting Activity and the Cost of Capital

Journal of Financial and Quantitative Analysis, forthcoming
Number of pages: 46 Posted: 24 Jul 2017 Last Revised: 07 Aug 2020
Ioanid Rosu, Elvira Sojli and Wing Wah Tham
HEC Paris - Finance Department, UNSW Australia Business School, School of Banking and Finance and University of New South Wales (UNSW)
Downloads 183 (188,770)

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

10.

Dynamic Adverse Selection and Liquidity

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 49 Posted: 04 Jun 2018 Last Revised: 05 May 2020
Ioanid Rosu
HEC Paris - Finance Department
Downloads 48 (448,247)

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Learning, adverse selection, dynamic model, stationary distribution