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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CITATIONS
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in Total Papers Citations

116

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 1,448 (12,066)
Citation 77

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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

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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

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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
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 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)

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Learning, Stationary Distribution