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The Zumbach Effect Under Rough...
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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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2
A new approach for the dynamics of ultra-high-frequency data : the model with uncertainty zones
Robert, Christian Yann
;
Rosenbaum, Mathieu
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
2
,
pp. 344-366
Persistent link: https://www.econbiz.de/10009125119
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3
Volatility and covariation estimation when microstructure noise and trading times are endogenous
Robert, Christian Yann
;
Rosenbaum, Mathieu
- In:
Mathematical finance : an international journal of …
22
(
2012
)
1
,
pp. 133-164
Persistent link: https://www.econbiz.de/10009554688
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4
Market microstructure : confronting many viewpoints
Abergel, Frédéric
(
ed.
); …
-
2012
Persistent link: https://www.econbiz.de/10009524952
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5
Weak dependence beyond mixing for infinite ARCH-type bilinear models
Doukhan, Paul
;
Madre, Hélène
;
Rosenbaum, Mathieu
-
2005
Persistent link: https://www.econbiz.de/10003334735
Saved in:
6
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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7
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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8
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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9
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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10
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
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