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2020 – today
- 2023
[j10]Bastien Baldacci
, Iuliia Manziuk, Thibaut Mastrolia, Mathieu Rosenbaum:
Market Making and Incentives Design in the Presence of a Dark Pool: A Stackelberg Actor-Critic Approach. Oper. Res. 71(2): 727-749 (2023)- [j9]Bastien Baldacci, Philippe Bergault, Joffrey Derchu, Mathieu Rosenbaum:
On Bid and Ask Side-Specific Tick Sizes. SIAM J. Financial Math. 14(4): 1215-1248 (2023) - [i7]Haoyang Cao, Haotian Gu, Xin Guo, Mathieu Rosenbaum:
Feasibility and Transferability of Transfer Learning: A Mathematical Framework. CoRR abs/2301.11542 (2023) - [i6]Jianfei Zhang, Mathieu Rosenbaum:
Towards systematic intraday news screening: a liquidity-focused approach. CoRR abs/2304.05115 (2023) - [i5]Haoyang Cao, Haotian Gu, Xin Guo, Mathieu Rosenbaum:
Transfer Learning for Portfolio Optimization. CoRR abs/2307.13546 (2023) - [i4]Haoyang Cao, Haotian Gu, Xin Guo, Mathieu Rosenbaum:
Risk of Transfer Learning and its Applications in Finance. CoRR abs/2311.03283 (2023) - 2022
- [i3]Mathieu Rosenbaum, Jianfei Zhang:
On the universality of the volatility formation process: when machine learning and rough volatility agree. CoRR abs/2206.14114 (2022) - [i2]Antoine Fosset, Mohamed El-Mennaoui, Amine Rebei, Paul Calligaro, Elise Farge Di Maria, Hélène Nguyen-Ban, Francesca Rea, Marie-Charlotte Vallade, Elisabetta Vitullo, Christophe Zhang, Guillaume Charpiat, Mathieu Rosenbaum:
Docent: A content-based recommendation system to discover contemporary art. CoRR abs/2207.05648 (2022) - [i1]Qinkai Chen, Mohamed El-Mennaoui, Antoine Fosset, Amine Rebei, Haoyang Cao, Philine Bouscasse, Christy Eóin O'Beirne, Sasha Shevchenko, Mathieu Rosenbaum:
Towards mapping the contemporary art world with ArtLM: an art-specific NLP model. CoRR abs/2212.07127 (2022) - 2021
- [j8]Paul Jusselin, Thibaut Mastrolia, Mathieu Rosenbaum:
Optimal Auction Duration: A Price Formation Viewpoint. Oper. Res. 69(6): 1734-1745 (2021) - [j7]Bastien Baldacci, Dylan Possamaï, Mathieu Rosenbaum:
Optimal Make-Take Fees in a Multi Market-Maker Environment. SIAM J. Financial Math. 12(1): 446-486 (2021)
2010 – 2019
- 2019
- [j6]Omar El Euch, Masaaki Fukasawa, Jim Gatheral, Mathieu Rosenbaum:
Short-Term At-the-Money Asymptotics under Stochastic Volatility Models. SIAM J. Financial Math. 10(2): 491-511 (2019) - 2018
- [j5]Omar El Euch, Masaaki Fukasawa, Mathieu Rosenbaum:
The microstructural foundations of leverage effect and rough volatility. Finance Stochastics 22(2): 241-280 (2018) - 2017
- [j4]Weibing Huang, Mathieu Rosenbaum:
Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework. SIAM J. Financial Math. 8(1): 874-900 (2017) - 2016
- [j3]Jiatu Cai, Masaaki Fukasawa, Mathieu Rosenbaum, Peter Tankov:
Optimal Discretization of Hedging Strategies with Directional Views. SIAM J. Financial Math. 7(1): 34-69 (2016) - 2010
- [j2]Christian Y. Robert, Mathieu Rosenbaum:
On the limiting spectral distribution of the covariance matrices of time-lagged processes. J. Multivar. Anal. 101(10): 2434-2451 (2010) - [j1]Christian Y. Robert, Mathieu Rosenbaum:
On the Microstructural Hedging Error. SIAM J. Financial Math. 1(1): 427-453 (2010)
Coauthor Index
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