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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
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Understanding the stakes of high-frequency trading
Abergel, Frédéric; Lehalle, Charles-Albert; … - In: The journal of trading 9 (2014) 4, pp. 49-73
Persistent link: https://www.econbiz.de/10011291063
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Large tick assets : implicit spread and optimal tick size
Dayri, Khalil; Rosenbaum, Mathieu - In: Market microstructure and liquidity 1 (2015) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10011588190
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An {l1, l2, l∞} regularization approach to high-dimensional errors-in-variables models
Belloni, Alexandre; Rosenbaum, Mathieu; Cybakov, … - 2016
Persistent link: https://www.econbiz.de/10011855357
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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
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How to Predict the Consequences of a Tick Value Change? Evidence from the Tokyo Stock Exchange Pilot Program
Huang, Weibing - 2015
The tick value is a crucial component of market design and is often considered the most suitable tool to mitigate the effects of high frequency trading. The goal of this paper is to demonstrate that the approach introduced in Dayri and Rosenbaum (2015) allows for an ex ante assessment of the...
Persistent link: https://www.econbiz.de/10013018776
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On the universality of the volatility formation process : when machine learning and rough volatility agree
Rosenbaum, Mathieu; Zhang, Jianfei - In: Frontiers of mathematical finance : FMF 3 (2024) 1, pp. 106-126
Persistent link: https://www.econbiz.de/10015375963
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AHEAD: ad hoc electronic auction design
Derchu, Joffrey; Guillot, Philippe; Mastrolia, Thibaut; … - In: Frontiers of mathematical finance : FMF 3 (2024) 2, pp. 163-213
Persistent link: https://www.econbiz.de/10015375994
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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
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A characterisation of cross-impact kernels
Rosenbaum, Mathieu; Tomas, Mehdi - In: Frontiers of mathematical finance : FMF 1 (2022) 4, pp. 491-523
Persistent link: https://www.econbiz.de/10015373945