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~type_genre:"Aufsatz in Zeitschrift"
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Search: person:"Rosenbaum, Mathieu"
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Rosenbaum, Mathieu
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ECONIS (ZBW)
15
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1
Optimal auction duration : a price formation viewpoint
Paul, Jusselin
;
Thibaut, Mastrolia
;
Mathieu, Rosenbaum
- In:
Operations research
69
(
2021
)
6
,
pp. 1734-1745
Persistent link: https://www.econbiz.de/10012815718
Saved in:
2
Market making and incentives design in the presence of a dark pool : a Stackelberg actor-critic approach
Baldacci, Bastien
;
Manziuk, Iuliia
;
Mastrolia, Thibaut
; …
- In:
Operations research
71
(
2023
)
2
,
pp. 727-749
Persistent link: https://www.econbiz.de/10014308635
Saved in:
3
From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect
Dandapani, Aditi
;
Jusselin, Paul
;
Rosenbaum, Mathieu
- In:
Quantitative finance
21
(
2021
)
8
,
pp. 1235-1247
Persistent link: https://www.econbiz.de/10012608638
Saved in:
4
The Zumbach effect under rough Heston
El Euch, Omar
;
Gatheral, Jim
;
Radoičić, Radoš
; …
- In:
Quantitative finance
20
(
2020
)
2
,
pp. 235-241
Persistent link: https://www.econbiz.de/10012194863
Saved in:
5
Assessing MiFID II regulation on tick sizes : a transaction costs analysis viewpoint
Laruelle, Sophie
;
Rosenbaum, Mathieu
;
Savku, Emel
- In:
Market microstructure and liquidity
5
(
2019
)
1/4
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012819950
Saved in:
6
Comment on: limit of random measures associated with the increments of a Brownian Semimartingale : asymptotic behavior of local times related statistics for fractional Brownian mot...
Podolskij, Mark
;
Rosenbaum, Mathieu
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
4
,
pp. 588-598
Persistent link: https://www.econbiz.de/10011987969
Saved in:
7
Volatility is rough
Gatheral, Jim
;
Jaisson, Thibault
;
Rosenbaum, Mathieu
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 933-949
Persistent link: https://www.econbiz.de/10011910932
Saved in:
8
The microstructural foundations of leverage effect and rough volatility
El Euch, Omar
;
Fukasawa, Masaaki
;
Rosenbaum, Mathieu
- In:
Finance and stochastics
22
(
2018
)
2
,
pp. 241-280
Persistent link: https://www.econbiz.de/10011945670
Saved in:
9
The behavior of high-frequency traders under different market stress scenarios
Megarbane, Nicolas
;
Saliba, Pamela
;
Lehalle, Charles-Albert
- In:
Market microstructure and liquidity
3
(
2017
)
3/4
,
pp. 1-54
Persistent link: https://www.econbiz.de/10011988891
Saved in:
10
How to predict the consequences of a tick value change? : evidence from the Tokyo stock exchange pilot program
Huang, Weibing
;
Lehalle, Charles-Albert
;
Rosenbaum, Mathieu
- In:
Market microstructure and liquidity
2
(
2016
)
3/4
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011715772
Saved in:
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