Mathieu Rosenbaum

17 papers Journal 17
YearRankTypeTitle / Venue / Authors
2023 J jnl
Feasibility and Transferability of Transfer Learning: A Mathematical Framework.
CoRR
Haoyang Cao, Haotian Gu, Xin Guo, Mathieu Rosenbaum
2023 J jnl
Market Making and Incentives Design in the Presence of a Dark Pool: A Stackelberg Actor-Critic Approach.
Oper. Res.
Bastien Baldacci, Iuliia Manziuk, Thibaut Mastrolia, Mathieu Rosenbaum
2023 J jnl
On Bid and Ask Side-Specific Tick Sizes.
SIAM J. Financial Math.
Bastien Baldacci, Philippe Bergault, Joffrey Derchu, Mathieu Rosenbaum
2023 J jnl
Risk of Transfer Learning and its Applications in Finance.
CoRR
Haoyang Cao, Haotian Gu, Xin Guo, Mathieu Rosenbaum
2023 J jnl
Towards systematic intraday news screening: a liquidity-focused approach.
CoRR
Jianfei Zhang, Mathieu Rosenbaum
2023 J jnl
Transfer Learning for Portfolio Optimization.
CoRR
Haoyang Cao, Haotian Gu, Xin Guo, Mathieu Rosenbaum
2022 J jnl
Docent: A content-based recommendation system to discover contemporary art.
CoRR
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
2022 J jnl
On the universality of the volatility formation process: when machine learning and rough volatility agree.
CoRR
Mathieu Rosenbaum, Jianfei Zhang
2022 J jnl
Towards mapping the contemporary art world with ArtLM: an art-specific NLP model.
CoRR
Qinkai Chen, Mohamed El-Mennaoui, Antoine Fosset, Amine Rebei, Haoyang Cao, Philine Bouscasse, Christy Eóin O'Beirne, Sasha Shevchenko, Mathieu Rosenbaum
2021 J jnl
Optimal Auction Duration: A Price Formation Viewpoint.
Oper. Res.
Paul Jusselin, Thibaut Mastrolia, Mathieu Rosenbaum
2021 J jnl
Optimal Make-Take Fees in a Multi Market-Maker Environment.
SIAM J. Financial Math.
Bastien Baldacci, Dylan Possamaï, Mathieu Rosenbaum
2019 J jnl
Short-Term At-the-Money Asymptotics under Stochastic Volatility Models.
SIAM J. Financial Math.
Omar El Euch, Masaaki Fukasawa, Jim Gatheral, Mathieu Rosenbaum
2018 J jnl
The microstructural foundations of leverage effect and rough volatility.
Finance Stochastics
Omar El Euch, Masaaki Fukasawa, Mathieu Rosenbaum
2017 J jnl
Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework.
SIAM J. Financial Math.
Weibing Huang, Mathieu Rosenbaum
2016 J jnl
Optimal Discretization of Hedging Strategies with Directional Views.
SIAM J. Financial Math.
Jiatu Cai, Masaaki Fukasawa, Mathieu Rosenbaum, Peter Tankov
2010 J jnl
On the Microstructural Hedging Error.
SIAM J. Financial Math.
Christian Y. Robert, Mathieu Rosenbaum
2010 J jnl
On the limiting spectral distribution of the covariance matrices of time-lagged processes.
J. Multivar. Anal.
Christian Y. Robert, Mathieu Rosenbaum