Mathieu Rosenbaum

According to our database, Mathieu Rosenbaum authored at least 17 papers between 2010 and 2023.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2023

On Bid and Ask Side-Specific Tick Sizes.

Bastien Baldacci, Philippe Bergault, Joffrey Derchu, Mathieu Rosenbaum

SIAM J. Financial Math., December, 2023

Market Making and Incentives Design in the Presence of a Dark Pool: A Stackelberg Actor-Critic Approach.

Bastien Baldacci, Iuliia Manziuk, Thibaut Mastrolia, Mathieu Rosenbaum

Oper. Res., March, 2023

Risk of Transfer Learning and its Applications in Finance.

Haoyang Cao, Haotian Gu, Xin Guo, Mathieu Rosenbaum

CoRR, 2023

Transfer Learning for Portfolio Optimization.

Haoyang Cao, Haotian Gu, Xin Guo, Mathieu Rosenbaum

CoRR, 2023

Towards systematic intraday news screening: a liquidity-focused approach.

Jianfei Zhang, Mathieu Rosenbaum

CoRR, 2023

Feasibility and Transferability of Transfer Learning: A Mathematical Framework.

Haoyang Cao, Haotian Gu, Xin Guo, Mathieu Rosenbaum

CoRR, 2023

2022

Towards mapping the contemporary art world with ArtLM: an art-specific NLP model.

Qinkai Chen, Mohamed El-Mennaoui, Antoine Fosset, Amine Rebei, Haoyang Cao, Philine Bouscasse, Christy Eóin O'Beirne, Sasha Shevchenko, Mathieu Rosenbaum

CoRR, 2022

Docent: A content-based recommendation system to discover contemporary art.

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

CoRR, 2022

On the universality of the volatility formation process: when machine learning and rough volatility agree.

Mathieu Rosenbaum, Jianfei Zhang

CoRR, 2022

2021

Optimal Make-Take Fees in a Multi Market-Maker Environment.

Bastien Baldacci, Dylan Possamaï, Mathieu Rosenbaum

SIAM J. Financial Math., 2021

Optimal Auction Duration: A Price Formation Viewpoint.

Paul Jusselin, Thibaut Mastrolia, Mathieu Rosenbaum

Oper. Res., 2021

2019

Short-Term At-the-Money Asymptotics under Stochastic Volatility Models.

Omar El Euch, Masaaki Fukasawa, Jim Gatheral, Mathieu Rosenbaum

SIAM J. Financial Math., 2019

2018

The microstructural foundations of leverage effect and rough volatility.

Omar El Euch, Masaaki Fukasawa, Mathieu Rosenbaum

Finance Stochastics, 2018

2017

Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework.

Weibing Huang, Mathieu Rosenbaum

SIAM J. Financial Math., 2017

2016

Optimal Discretization of Hedging Strategies with Directional Views.

Jiatu Cai, Masaaki Fukasawa, Mathieu Rosenbaum, Peter Tankov

SIAM J. Financial Math., 2016

2010

On the Microstructural Hedging Error.

Christian Y. Robert, Mathieu Rosenbaum

SIAM J. Financial Math., 2010

On the limiting spectral distribution of the covariance matrices of time-lagged processes.

Christian Y. Robert, Mathieu Rosenbaum

J. Multivar. Anal., 2010