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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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Volatility is rough
Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu - In: Options - 45 years since the publication of the …, (pp. 127-172). 2023
Persistent link: https://www.econbiz.de/10014366596
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Forecasting volatility with machine learning and rough volatility : example from the crypto-winter
Tang, Siu Hin; Rosenbaum, Mathieu; Zhou, Chao - In: Digital finance : smart data analytics, investment … 6 (2024) 4, pp. 639-655
Persistent link: https://www.econbiz.de/10015177139
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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
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Comment on: limit of random measures associated with the increments of a Brownian Semimartingale : asymptotic behavior of local times related statistics for fractional Brownian motion
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
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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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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
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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
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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
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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