Mathieu Rosenbaum is a full-time professor at Ecole Polytechnique, where he holds the chair “Analytics and Models for Regulation”. He obtained his Ph.D from University Paris-Est in 2007. After being Assistant Professor at École Polytechnique, he became Professor at University Pierre et Marie Curie (Paris 6) in 2011.
Mathieu Rosenbaum’s research mainly focuses on statistical finance problems, such as market microstructure modeling or designing statistical procedures for high frequency data and on regulatory issues, especially in the context of high frequency trading. In particular, he is one of the organizers of the conference “Market Microstructure, Confronting Many Viewpoints“, which takes place every two years in Paris.
Mathieu Rosenbaum has collaborations with various financial institutions, notably BNP-Paribas since 2004. He also has several editorial activities. He is one of the editors in chief of the journal “Market Microstructure and Liquidity“. Furthermore, he is managing editor for “Quantitative Finance” and associate editor for “Electronic Journal of Statistics”, “Journal of Applied Probability”, “Mathematical Finance”, “Mathematics and Financial Economics”, “Statistical Inference for Stochastic Processes”, “SIAM Journal in Financial Mathematics”, “Springer Briefs” and “Statistics and Risk Modeling”. He received the Europlace Award for Best Young Researcher in Finance in 2014 and the European Research Council Grant in 2015. He also received the 2020 Louis Bachelier Prize.
Mathieu Rosenbaum and Jim Gatheral won Quant of the Year – Risk Awards 2021 ( Quants of the year – Jim Gatheral and Mathieu Rosenbaum )
A complete list of papers can be found at his page.
Selected papers:
- AHEAD : Ad-Hoc Electronic Auction Design with Joffrey Derchu, Philippe Guillot and Thibaut Mastrolia
- On bid and ask side-specific tick sizes with Bastien Baldacci, Philippe Bergault and Joffrey Derchu
- From microscopic price dynamics to multidimensional rough volatility models with Mehdi Tomas
- From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect with Aditi Dandapani and Paul Jusselin
- Optimal make take fees in a multi market maker environment with Bastien Baldacci and Dylan Possamaï published on SIAM Journal on Financial Mathematics Volume 12, Issue 1
- From asymptotic properties of general point processes to the ranking of financial agents with Othmane Mounjid and Pamela Saliba
- Optimal auction duration: A price formation viewpoint with Paul Jusselin and Thibaut Mastrolia
- From Glosten-Milgrom to the whole limit order book and applications to financial regulation (with W. Huang and P. Saliba)
- The Zumbach effect under rough Heston (with Omar El Euch, J. Gatheral and R. Radoičić)
- No-arbitrage implies power-law market impact and rough volatility (2018, with Paul Jusselin) published in Mathematical Finance Vol 30 Issue 4
- Optimal make-take fees for market making regulation (2018, with Omar El Euch, T. Mastrolia, N. Touzi) published in Mathematical Finance Vol 31 Issue 1
- Optimal liquidity-based trading tactics (with Charles-Albert Lehalle and O. Mounjid)
- The behaviour of high-frequency traders under different market stress scenarios (2017),
with Charles-Albert Lehalle, Nicolas Megarbane and Pamela Saliba. - The microstructural foundations of leverage effect and rough volatility (2016),
with Omar El Euch and Masaaki Fukasawa. To appear in Finance and Stochastics. - How to predict the consequences of a tick value change? Evidence from the Tokyo Stock Exchange pilot program (2016),
with Weibing Huang and Charles-Albert Lehalle, Market Microstructure and Liquidity, 2 (3), 1750001. - Large tick assets: implicit spread and optimal tick size (2015),
with Khalil Dayri, Market Microstructure and Liquidity, 1 (1), 1550003. - Simulating and analyzing order book data: The queue-reactive model (2015),
with Weibing Huang and Charles-Albert Lehalle, Journal of the American Statistical Association, 110 (509), p 107-122. - Volatility is rough (2014),
with Jim Gatheral and Thibault Jaisson, Quantitative Finance, 18 (6), p. 933-949 - Understanding the stakes of high frequency trading (2014),
with Frédéric Abergel and Charles-Albert Lehalle, The Journal of Trading, 9 (4), p 49-73. - Limit theorems for nearly unstable Hawkes processes (2013), with Thibault Jaisson, The Annals of Applied Probability, 25 (2), p 600-631
- Estimating the efficient price from the order flow: a Brownian Cox process approach (2013),
with Sylvain Delattre and Christian Y. Robert. Stochastic Processes and Their Applications, 123 (7), p 2603-2619 - A new approach for the dynamics of ultra high frequency data: the model with uncertainty zones (2011),
with Christian Y. Robert, Journal of Financial Econometrics, 9 (2) p 344-366. - Volatility Estimation under Endogenous Microstructure Noise