Mathieu Rosenbaum Professor, Applied Mathematics |
Centre de Mathématiques Appliquées Ecole Polytechnique UMR CNRS 7641 91128 Palaiseau Cedex FRANCE Téléphone : 33 (0)1-69-33-46-32 e-mail : mathieu.rosenbaum@polytechniqueDOTedu |
Statistique des modèles financiers et mathématiques financières, données haute fréquence, microstructure des marchés, économétrie de la finance, modèles à volatilité stochastique, mouvement brownien fractionnaire, mémoire longue, espaces de Besov et estimation par ondelettes, sparsité, matrices aléatoires.
Habilitation à diriger les recherches (2010).
Thèse de Doctorat à l’Université Paris-Est (Laboratoire d’Analyse et de Mathématiques Appliquées- LAMA) et au CREST, en collaboration avec BNP-Paribas (2007).
Directeur de thèse : Marc Hoffmann
Sujet : « Étude de quelques problèmes d’estimation statistique en finance »
Professeur résident à l'Ecole Polytechnique, Centre de Mathématiques Appliquées (CMAP) (2016-).
Responsable de la chaire Analytics and Models for Regulation.
Co-responsable du Master Probabilité et Finance.
Professeur à l'Université Pierre et Marie Curie, Paris 6, Laboratoire de Probabilités et Modèles Aléatoires (LPMA) (2011-2016).
Professeur Chargé de Cours à l'Ecole Polytechnique, Centre de Mathématiques Appliquées (CMAP) (2011-2016).
Professeur Chargé de Cours résident à l'Ecole Polytechnique, Centre de Mathématiques Appliquées (CMAP) (2008-2011).
Quant of the Year Award (2021)
Louis Bachelier Prize (2020).
ERC Grant (2015).
Europlace Award for Best Young Researcher in Finance (2014).
Prix de thèse SCOR (2008).
Editeur de "Market Microstructure, Confronting Many Viewpoints" (2012), with Frédéric Abergel, Jean-Philippe Bouchaud, Thierry Foucault and Charles-Albert Lehalle, Wiley Finance.
Editeur de "Options, 45 Years since the Publication of the Black-Scholes-Merton Model" (2023), avec David Gershon, Alex Lipton and Zvi Wiener, World Scientific.
Editeur de "Rough Volatility" (2023), with Christian Bayer, Masaaki Fukasawa, Peter Friz, Jim Gatheral and Antoine Jacquier, SIAM.
[82] The two square root laws of market impact and the role of sophisticated market participants.
with Bruno Durin and Grégoire Szymanski, 2023.
[81] Forecasting Volatility with Machine Learning and Rough Volatility: Example from the Crypto-Winter
with Siu Hin Tang and Chao Zhou. Submitted, 2023.
[80] Understanding the worst kept secret of high frequency trading
with Sergio Pulido and Emmanouil Sfendourakis. Submitted, 2023.
[79] Statistical inference for rough volatility: Minimax Theory
with Carsten Chong, Marc Hoffmann, Yanghui Liu and Grégoire Szymanski. Submitted, 2023.
[78] Statistical inference for rough volatility: Central Limit Theorems
with Carsten Chong, Marc Hoffmann, Yanghui Liu and Grégoire Szymanski. To appear in Annals of Applied Probability, 2023.
[77] Multi-asset market making under the quadratic rough Heston
with Jianfei Zhang. Submitted, 2023.
[76] Incentives to shape equilibria in double auction markets
with Joffrey Derchu and Thibaut Mastrolia. Submitted, 2023.
[75] GoT : How to measure the ability of a football player to generate threat?
with Ali Baouan, Sébastien Coustou, Mathieu Lacome and Sergio Pulido. Submitted, 2023.
[74] What should clubs monitor to predict future value of football players?
with Ali Baouan, Elsa Bismuth, Aurèle Bohbot, Sébastien Coustou and Mathieu Lacome. Submitted, 2023.
[73] An expansion formula for Hawkes processes and application to cyber-insurance derivatives
with Caroline Hillairet and Antony Reveillac. Stochastic Processes and Their Applications, 160, p. 89-119, 2023.
[72] How to design a derivatives market?
with Bastien Baldacci and Paul Jusselin. To appear in Frontiers of Mathematical Finance, 2023.
[71] On bid and ask side-specific tick sizes
with Bastien Baldacci, Philippe Bergault and Joffrey Derchu. SIAM-SIFIN, 14 (4), p. 1215-1248, 2023.
[70] On the universality of the volatility formation process: when machine learning and rough volatility agree
with Jianfei Zhang. To appear in Fontiers in Financial Mathematics, 2023.
[69] AHEAD: Ad hoc electronic auction design
with Joffrey Derchu, Philippe Guillot and Thibaut Mastrolia. Submitted, 2022.
[68] Docent: A content-based recommendation system to discover contemporary art
with 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 and Guillaume Charpiat. Submitted, 2022.
[67] Towards mapping the contemporary art world with ArtLM: an art-specific NLP model
with Qinkai Chen, Mohamed El-Mennaoui, Antoine Fosset, Amine Rebei, Haoyang Cao, Philine Bouscasse, Christy Eóin O'Beirne and Sasha Shevchenko. Submitted, 2022.
[66] Deep calibration of the quadratic rough Heston model
with Jianfei Zhang. Risk Magazine, Sept 2022.
[65] A characterization of cross-impact kernels
with Mehdi Tomas. Frontiers of Mathematical Finance, 1 (4), p. 491-523, 2022.
[64] Market making and incentives design in the presence of a dark pool: A Stackelberg Actor–Critic Approach
with Bastien Baldacci, Iuliia Manziuk and Thibaut Mastrolia. Operations Research, 71 (2), p. 727-749, 2023.
[63] From microscopic price dynamics to multidimensional rough volatility models
with Mehdi Tomas. Advances in Applied Probability, 53 (2), p. 425-462, 2021.
[62] Optimal make take fees in a multi market maker environment
with Bastien Baldacci and Dylan Possamai. SIAM-SIFIN, 12 (1), p. 446-486, 2021.
[61] From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect
with Aditi Dandapani and Paul Jusselin. Quantitative Finance, 21 (8, p. 1235-1247, 2021.
[60] Optimal auction duration: a price formation viewpoint
with Paul Jusselin and Thibaut Mastrolia. Operations Research, 69 (6), p. 1734-1745, 2021.
[59] From asymptotic properties of general point processes to the ranking of financial agents
with Othmane Mounjid and Pamela Saliba. Submitted, 2021.
[58] From Glosten-Milgrom to the whole limit order book and applications to financial regulation
with Weibing Huang and Pamela Saliba. Submitted, 2021.
[57] Assessing MiFID 2 regulation on tick sizes: A transaction costs analysis viewpoint
with Sophie Laruelle and Emel Savku. Market Microstructure and Liquidity, 5 (1), 205003, 2019.
[56] Optimal liquidity-based trading tactics
with Charles-Albert Lehalle and Othmane Mounjid. Stochastic Systems, 11 (4), p. 368-390, 2021.
[55] Pivotal estimation via self-normalization for high-dimensional linear models with error in variables
with Alexandre Belloni, Victor Chernozhukov, Abhishek Kaul and Alexandre Tsybakov. Submitted, 2021.
[54] Optimal make-take fees for market making regulation
with Omar El Euch, Thibaut Mastrolia and Nizar Touzi. Mathematical Finance, 31 (1), p. 109-148, 2021.
[53] The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem
with Jim Gatheral and Paul Jusselin. Risk Magazine, May 2020.
[52] No-arbitrage implies power-law market impact and rough volatility
with Paul Jusselin. Mathematical Finance, 30 (4), p. 1309-1336, 2020.
[51] The Zumbach effect under rough Heston
with Omar El Euch and Jim Gatheral. Quantitative Finance, 20 (2), p. 235-241, 2020.
[50] Roughening Heston
with Omar El Euch and Jim Gatheral. Risk Magazine, May 2019.
[49] Short-term at-the-money asymptotics under stochastic volatility models
with Omar El Euch, Masaaki Fukasawa and Jim Gatheral. SIAM Journal on Financial Mathematics, 10 (2), p. 491-511, 2019.
[48] The behaviour of high-frequency traders under different market stress scenari
with Charles-Albert Lehalle, Nicolas Megarbane and Pamela Saliba. Market Microstructure and Liquidity, 3 (4), 1850005, 2017.
[47] Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint
with Eyal Neuman. Electronic Communications in Probability, 23 (61), p. 1-12, 2018.
[46] Perfect hedging under rough Heston models
with Omar El Euch. The Annals of Applied Probability, 28 (6), p. 3813-3856, 2018.
[45] Rough volatility: Evidence form option prices
with Giulia Livieri, Saad Mouti and Andrea Pallavicini. IISE Transactions, 50 (9), p. 767-776, 2018.
[44] Asymptotic behavior of local times related statistics for fractional Brownian motion
with Mark Podolskij. Journal of Financial Econometrics, 16 (4), p. 588-598, 2018.
[43] The characteristic function of rough Heston models
with Omar El Euch. Mathematical Finance, 29 (1), p. 3-38, 2019.
[42] The microstructural foundations of leverage effect and rough volatility
with Omar El Euch and Masaaki Fukasawa. Finance and Stochastics, 22 (2), p. 241-280, 2018.
[41] Volatility is rough
with Jim Gatheral and Thibault Jaisson. Quantitative Finance, 18 (6), p. 933-949, 2018.
[40] Asymptotic optimal tracking: feedback strategies
with Jiatu Cai and Peter Tankov. Stochastics, 89 (6-7), p. 943-966, 2017.
[39] Asymptotic lower bounds for optimal tracking: a linear programming approach
with Jiatu Cai and Peter Tankov. The Annals of Applied Probability, 27 (4), p. 2455-2514, 2017.
[38] Linear and conic programming estimators in high-dimensional errors-in-variables models
with Alexandre Belloni and Alexetre Tsybakov. Journal of the Royal Statistical Society (B), 79 (3), p. 939-956, 2017.
[37] Ergodicity and diffusivity of Markovian order book models: a general framework
with Weibing Huang. SIAM Journal of Financial Mathematics, 8, p. 854-900, 2017.
[36] How to predict the consequences of a tick value change? Evidence from the Tokyo Stock Exchange pilot program
with Weibing Huang and Charles-Albert Lehalle. Market Microstructure and Liquidity, 2 (3), 1750001, 2016.
[35] Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
with Thibault Jaisson. The Annals of Applied Probability, 26 (5), p. 2860-2882, 2016.
[34] An {l_1,l_2,l_infinity}-regularization approach to high-dimensional errors-in-variables models
with Alexandre Belloni and Alexandre Tsybakov. Electronic Journal of Statistics, 10, p. 1729-1750, 2016.
[33] The different asymptotic regimes of nearly unstable autoregressive processes
with Thibault Jaisson. The Fascination of Probability, Statistics and their Applications, In Honour of Ole E. Barndorff-Nielsen, Springer, 283-301, 2016.
[32] Optimal discretization of hedging strategies with directional views
with Jiatu Cai, Masaaki Fukasawa and Peter Tankov. SIAM Journal of Financial Mathematics, 7, 34-69, 2016.
[31] Some explicit formulas for the Brownian bridge, Brownian meander and Bessel process under uniform sampling
with Marc Yor. ESAIM-PS, 19, 578-589, 2015.
[30] Random scaling and sampling of Brownian motion
with Marc Yor. Journal of the Mathematical Society of Japan, special issue dedicated to Professor Kiyosi Itô, 67, 1771-1784, 2015.
[29] Large tick assets: implicit spread and optimal tick size
with Khalil Dayri. Market Microstructure and Liquidity, 1, 1550003, 2015. Practitioners version in Global Trading, 50, 2014 Q2.
[28] Simulating and analyzing order book data: The queue-reactive model
with Weibing Huang and Charles-Albert Lehalle. Journal of the American Statistical Association, 110, 107-122, 2015.
[27] Estimation of volatility functionals: the case of a square root n windows
with Jean Jacod. Large Deviations and Asymptotic Methods in Finance, Springer Proceedings in Mathematics & Statistics, 559-590, 2015.
[26] Limit theorems for nearly unstable Hawkes processes
with Thibault Jaisson. The Annals of Applied Probability, 25, 600-631, 2015.
[25] Understanding the stakes of high frequency trading
with Frédéric Abergel and Charles-Albert Lehalle. The Journal of Trading, 9, 49-73, 2014.
[24] On the law of a triplet associated with the pseudo-Brownian bridge
with Marc Yor. Séminaire de Probabilités XLVI, 359-375, 2014.
[23] Asymptotically optimal discretization of hedging strategies with jumps
with Peter Tankov. The Annals of Applied Probability, 24, 1002-1048, 2014.
[22] On the expectation of normalized Brownian functionals up to first hitting times
with Romuald Elie and Marc Yor. Electronic Journal of Probability, 19, article 37, 2014.
[21] Estimating the efficient price from the order flow: a Brownian Cox process approach
with Sylvain Delattre and Christian Y. Robert. Stochastic Processes and their Applications, 123, 2603-2619, 2013.
[20] Quarticity and other functionals of volatility: efficient estimation
with Jean Jacod. The Annals of Statistics, 41, 1462-1484, 2013.
[19] Estimation of the lead-lag parameter from non-synchronous data
with Marc Hoffmann and Nakahiro Yoshida. Bernoulli, 19, 426-461, 2013.
[18] Improved matrix uncertainty selector
with Alexandre Tsybakov. From Probability to Statistics and Back: High-Dimensional Models and Processes; A Festschrift in Honor of Jon A. Wellner, IMS Collections, 9, 276-290, 2013.
[17] Central limit theorems for realized volatility under hitting times of an irregular grid
with Masaaki Fukasawa. Stochastic Processes and Their Applications, 122, 3901-3920, 2012.
[16] Testing the finiteness of the support of a distribution: a statistical look at Tsirelson's equation
with Sylvain Delattre. Electonic Communications in Probability, 17, article 25, 2012.
[15] Statistical finance at the École Polytechnique, Paris: the informal FIESTA research group
with Emmanuel Bacry and Marc Hoffmann. Quantitative Finance, 12, 685-689, 2012.
[14] Testing the local volatility assumption: a statistical approach
with Mark Podolskij. Annals of Finance, 8, 31-48, 2012.
[13] Volatility and covariation estimation when microstructure noise and trading times are endogenous
with Christian Y. Robert. Mathematical Finance, 22, 133-164, 2012.
[12] A new approach for the dynamics of ultra high frequency data: the model with uncertainty zones
with Christian Y. Robert. Journal of Financial Econometrics, 9, 344-366, 2011.
[11] Asymptotic results for time-changed Lévy processes sampled at hitting times
with Peter Tankov. Stochastic Processes and Their Applications, 121, 1607-1632, 2011.
[10] A new microstructure noise index. Quantitative Finance, 11, 883-899, 2011
[9] The model with uncertainty zones for ultra high frequency prices and durations; applications to statistical estimation and mathematical finance
with Christian Y. Robert. Econophysics Of Order-Driven Markets, Springer, 2011.
[8] Testing the type of a semi-martingale: Ito against multifractal
with Laurent Duvernet and Christian Y. Robert. Electronic Journal of Statistics, 4, 1300-1323, 2010.
[7] On the microstructural hedging error
with Christian Y. Robert. SIAM Journal on Financial Mathematics, 1, 427-453, 2010.
[6] Sparse recovery under matrix uncertainty
with Alexandre Tsybakov. The Annals of Statistics, 38, 2620-2651, 2010.
[5] On the limiting spectral distribution of the covariance matrices of time-lagged processes
with Christian Y. Robert. Journal of Multivariate Analysis, 101, 2434-2451, 2010.
[4] Integrated volatility and round off error
Bernoulli, 15, 687-720, 2009.
[3] First order p-variation and Besov spaces
Statistics and Probability Letters, 79, 55-62, 2009.
[2] Estimation of the volatility persistence in a discretely observed diffusion model
Stochastic Processes and Their Applications, 118, 1434-1462, 2008.
[1] Weak dependence for infinite ARCH-type bilinear models with Paul Doukhan and Hélène Madre. Statistics, 41, 31-45, 2007.
Depuis 2016: Professeur à l'Ecole Polytechnique: Cours de Modélisation statistique (3e année), Méthodes statistiques en finance (M2), Finance haute fréquence: outils probabilistes, modélisation statistique à travers les échelles et trading optimal (M2), Encadrement de projets (3e année).
2011/2012-2015/2016 : Professeur à l'UPMC : Cours de Mesures de risques (M2), Statistique des données haute fréquence (M2), Mathématiques financières (M2), Méthodes statistiques en finance (M2), Processus markoviens de sauts (M1).
2009/2010-2011/2012 : Cours de Trading Haute Fréquence Optimal à l'ENSAE et pour le master MASEF (avec Charles-Albert Lehalle).
2008/2009-2015/2016 : Professeur Chargé de Cours à l'Ecole Polytechnique : Cours de Probability Theory, TDs de Calcul Stochastique/Mathématiques Financières et Statistique, encadrement d' "EA".
2009/2010-2010/2011 : Cours de Mathématiques Financières à l'Université de Fudan à Shanghai
2008/2009-2009/2010 : TDs d'Estimation Fonctionnelle à l'ENSAE.
2006/2007-2008/2009 : Cours de méthodes statistiques en finance à l’ENSAE (avec Nicolas Chopin).
2006/2007-2007/2008 : TDs en M1 Polytechnique-HEC (Financial Econometrics).
2004/2005-2007/2008 : TDs à l’ENSAE (Ecole Nationale de la Statistique et de l’Administration Economique) : Statistique Mathématique, Calcul Stochastique, Mathématiques financières. Encadrement de groupes de travail de 3e année ENSAE.
2004/2005 : Khôlles de mathématiques en PCSI au lycée Fénelon.
Present:
Emmanouil Sfendourakis
Ali Baouan
Gregoire Szymanski
Past:
Jianfei Zhang
Qinkai Chen
Joffrey Derchu
Mehdi Tomas
Bastien Baldacci
Marcos Carreira
Antoine Fosset
Paul Jusselin
Othmane Mounjid
Pamela Saliba
Omar El Euch
Saad Mouti
Jonathan Donier
Jiatu Cai
Weibing Huang
Thibault Jaisson
Past:
Editeur en chef de Microstructure and Liquidity (avec F. Abergel, J.P. Bouchaud, J. Hasbrouck, C.A. Lehalle).
Managing editeur pour Quantitative Finance.
Editeur Associé de Advances in Applied Probability, 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 Statistics and Risk Modeling.
Referee pour:
Advances in Applied Probability, Annals of Applied Probability, Annals of Statistics, Applied Mathematical Modelling, Bernoulli, Biometrika, Computational Statistics and Data Analysis, Econometrica, Econometric Theory, Electronic Communications in Probability, Electronic Journal of Probability, Electronic Journal of Statistics, ESAIM PS, Finance and Stochastics, International Journal of Theoretical and Applied Finance, Journal of the American Statistical Association, Journal of Applied Probability, Journal of Banking and Finance, Journal of Econometrics, Journal of Economic Dynamics and Control, Journal of Finance, Journal of Financial Econometrics, Journal of Multivariate Analysis, Journal of the American Statistical Association, Journal of the Japan Statistical Society, Journal of the Royal Statistical Society B, Journal of Statistical Planning and Inference, Management Science, Mathematical Finance, Mathematics and Financial Economics, Operations Research, Statistics and Probability Letters, Studies in Nonlinear Dynamics & Econometrics, Quantitative Finance, Scandinavian Journal of Statistics, SIAM Journal on Financial Mathematics, Statistica Sinica, Stochastic Processes and Their Applications.
Co-responsable avec Nicole El Karoui, Emmanuel Gobet et Gilles Pagès du Master 2 Probabilités et Finance, UPMC et Ecole Polytechnique.
Organisateur avec Peter Tankov du groupe de travail du LPMA:
Finance Mathématique, Probabilités Numériques et Statistique des Processus
Membre du comité d'organisation des écoles d'été Second, Third and Fourth
"European Summer School in Financial Mathematics",
Paris 24-29 août 2009, Paris 23-27 août 2010, Zurich 5-9 septembre 2011 et des conférences
"Market Microstructure, Confronting Many Viewpoints", Paris, 6-10 décembre 2010,
"Market Microstructure, Confronting Many Viewpoints 2", Paris, 10-13 décembre 2012.
"Market Microstructure, Confronting Many Viewpoints 3", Paris, 8-11 décembre 2014.
"Market Microstructure, Confronting Many Viewpoints 4", Paris, 6-9 décembre 2016.
"Statistics for Stochastic Processes : Inference, Limit Theorems, Finance and Data Analysis 1-2-3-4", Paris, 12-13 mars 2012, 19 Mars 2013, 18-19 décembre 2013 et 23 janvier 2015.
"Advances in Financial Mathematics", Paris, 10-13 janvier 2017.
"Dynstoch 2012".
Encadrant avec Charles-Albert Lehalle du mémoire "Mesures de dépendances haute fréquence entre actifs financiers", par Aminata Dieye, Nicolas Huth, Sophie Genest et Matthieu Lasnier, Prix ASTEC du meilleur groupe de travail ENSAE en statistique ou finance 2007/2008.
Mathieu Rosenbaum ⬆️