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Mathieu Rosenbaum

Identifiers

  • name variant Mathieu Rosenbaum 0.60 · backfill

Papers (30)

  1. From asymptotic properties of general point processes to the ranking of financial agents q-fin.ST · 2019 · author #2
  2. The Zumbach effect under rough Heston q-fin.ST · 2018 · author #4
  3. No-arbitrage implies power-law market impact and rough volatility q-fin.ST · 2018 · author #2
  4. Optimal liquidity-based trading tactics q-fin.TR · 2018 · author #3
  5. Short-term at-the-money asymptotics under stochastic volatility models q-fin.CP · 2018 · author #4
  6. Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint math.PR · 2017 · author #2
  7. Asymptotic behavior of local times related statistics for fractional Brownian motion math.PR · 2017 · author #2
  8. Perfect hedging in rough Heston models q-fin.MF · 2017 · author #2
  9. Rough volatility: evidence from option prices q-fin.ST · 2017 · author #4
  10. The characteristic function of rough Heston models q-fin.MF · 2016 · author #2
  11. Asymptotic Optimal Tracking: Feedback Strategies math.PR · 2016 · author #2
  12. Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach math.PR · 2015 · author #2
  13. How to predict the consequences of a tick value change? Evidence from the Tokyo Stock Exchange pilot program q-fin.TR · 2015 · author #3
  14. Ergodicity and diffusivity of Markovian order book models: a general framework q-fin.TR · 2015 · author #2
  15. Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes math.PR · 2015 · author #2
  16. The different asymptotic regimes of nearly unstable autoregressive processes math.ST · 2015 · author #2
  17. An $\{l_1,l_2,l_{\infty}\}$-Regularization Approach to High-Dimensional Errors-in-variables Models math.ST · 2014 · author #2
  18. Volatility is rough q-fin.ST · 2014 · author #3
  19. Linear and Conic Programming Estimators in High-Dimensional Errors-in-variables Models math.ST · 2014 · author #2
  20. Simulating and analyzing order book data: The queue-reactive model q-fin.TR · 2013 · author #3
  21. Limit theorems for nearly unstable Hawkes processes q-fin.ST · 2013 · author #2
  22. Estimating the efficient price from the order flow: a Brownian Cox process approach q-fin.TR · 2013 · author #3
  23. Large tick assets: implicit spread and optimal tick size q-fin.TR · 2012 · author #2
  24. Quarticity and other functionals of volatility: Efficient estimation math.ST · 2012 · author #2
  25. Testing the finiteness of the support of a distribution: a statistical look at Tsirelson's equation math.PR · 2012 · author #2
  26. Improved Matrix Uncertainty Selector math.ST · 2011 · author #1
  27. Asymptotically optimal discretization of hedging strategies with jumps q-fin.RM · 2011 · author #1
  28. Asymptotic results and statistical procedures for time-changed L\'evy processes sampled at hitting times math.PR · 2010 · author #1
  29. Integrated volatility and round-off error math.ST · 2009 · author #1
  30. Sparse recovery under matrix uncertainty math.ST · 2008 · author #1

Mentions

  • 1301.3114 #3 · backfill · confidence 0.70 Mathieu Rosenbaum
  • 1207.6325 #2 · backfill · confidence 0.70 Mathieu Rosenbaum
  • 1207.3757 #2 · backfill · confidence 0.70 Mathieu Rosenbaum
  • 1202.5638 #2 · backfill · confidence 0.70 Mathieu Rosenbaum
  • 1112.4413 #1 · backfill · confidence 0.70 Mathieu Rosenbaum
  • 1108.5940 #1 · backfill · confidence 0.70 Mathieu Rosenbaum
  • 1007.1414 #1 · backfill · confidence 0.70 Mathieu Rosenbaum
  • 0909.0835 #1 · backfill · confidence 0.70 Mathieu Rosenbaum
  • 0812.2818 #1 · backfill · confidence 0.70 Mathieu Rosenbaum

Frequent Coauthors