with Sylvain Delattre. of Minnesota, Morris Conference High Frequency Trading, Curse or Blessing ?, University of Vienna, (le 23/09/2016). Frontiers in Stochastic Modelling for Finance, Padova, (le 05/02/2016). Liquidity and Tick Size conference, NYSE-Euronext London, (le 16/12/2013). Statistique Asymptotique des Processus Stochastiques VII , Université du Mans (le 17/03/2009). 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. 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. P. Jusselin, T. Mastrolia, M. Rosenbaum. Measuring Risk conference, Princeton University, (le 08/10/2011). "Swing Options Valuation:a BSDE with Constrained Jumps Approach," Working Papers hal-00553356, HAL. Accepted Papers. Market Microstructure and Liquidity, 1, 1550003, 2015. Conference Celebrating the Scientific Achievements of Ole Barndorff-Nielsen, Aarhus, (le 17/06/2015). Organizers: Mathieu Rosenbaum Nour Meddahi, Toulouse School of Economics, France. 58-From asymptotic properties of general point processes to the ranking of financial agents. Working paper, 2019. Conference Market Microstructure and High Frequency Data, University of Chicago, (le 16/05/2015). applications to statistical estimation and mathematical finance with Omar El Euch and Masaaki Fukasawa. Result of research initiated in 2013 which generated several conference presentations and working papers. Risk management seminar, University of Berkeley, (le 07/11/2017). Optimization and Equilibrium, Two-days Workshop (by invitation) - Concepci on - Chile (April 2017). Working paper, 2018. Séminaire de Statistiques du CREST, Paris, (le 23/01/2017). Workshop Current Challenges in Financial Mathematics and Economics, LSE, (le 27/08/2015). 2009/2010-2010/2011 : Cours de Mathématiques Financières à l'Université de Fudan à Shanghai Journal of the Royal Statistical Society (B), 79 (3), p. 939-956, 2017. 2004/2005 : Khôlles de mathématiques en PCSI au lycée Fénelon. Econophysics Of Order-Driven Markets, Springer, 2011. Evidence from the Tokyo Stock Exchange pilot program and Mathieu Rosenbaum. Séminaire Finance, Université Rennes 1 (le 26/06/2008). Responsable de la chaire Analytics and Models for Regulation. Risk Magazine, May 2020. Toggle navigation. VMS-SMF Joint Congress, Hue, (le 21/08/2012). "Market Microstructure, Confronting Many Viewpoints 2", Paris, 10-13 décembre 2012. Cornell-Manhattan Finance Seminar (le 04/06/2014). Stochastic Processes and Their Applications, 121, 1607-1632, 2011. She is also an AASECT certified sex therapy supervisor. 65- The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem. Conference Asymptotics in Finance, University of Chicago, (le 03/05/2012). 41-Volatility is rough Working paper, 2018. Journal of the American Statistical Association, 110, 107-122, 2015. Seminar on Stochastic Analysis and Stochastic Finance, TU Berlin, (le 28/04/2016). Séminaire Chaire "Risques financiers", X-Ponts-UPMC-Société Générale, (le 30/05/2012). SIAM Journal on Financial Mathematics, 1, 427-453, 2010. ZHANG a 2 postes sur son profil. 46-Perfect hedging under rough Heston models Colloque « Jeunes Probabilistes et Statisticiens 2006 » à Aussois (le 27/04/2006). Bernoulli, 15, 687-720, 2009. CI845: Advances in forecasting Organizers: Michael Owyang Michael Owyang, Federal Reserve Bank of St Louis, United States. Statistics and Finance seminars, Columbia University, (les 7 et 10/10/2013). (eds) Séminaire de Probabilités XLVI. 4-Integrated volatility and round off error 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). 41èmes Journées de Statistique de la SFDS, Bordeaux (le 22/05/2009). Cours à l'école d'été "Summer School in Risk Management and Risk Sharing", UBC Vancouver (Juillet 2010). Our main result is that log-volatility behaves essentially as a fractional Brownian motion with Hurst exponent H of order 0.1, at any reasonable time scale. hal-01393110 Advanced financial technologies seminar, Stanford University, (le 09/11/2017). (2018)).We refer to Sorensen et al. Agnes Varda’s “Kung-fu master!” is a French film that tells the story of a love affair between a 40-year-old woman and a 15-year-old boy. Séminaire du Laboratoire de Statistique Théorique et Appliquée (LSTA), Université Paris 6 (le 28/01/2008). Additional information My CV is here Publications : Teaching : Professional Experience The Annals of Statistics, 41, 1462-1484, 2013. 8-Testing the type of a semi-martingale: Ito against multifractal Risk and Stochastics conference, LSE, (le 9/05/2013). Séminaire de Probabilités XLVI, 359-375, 2014. Séminaire du SAF, Université Lyon 1, (le 15/02/2013). Séminaire Bachelier, Institut Henri Poincaré, (le 05/12/2014). Journée Mathématiques Financières , Université d'Evry (le 21/02/2013). Conférence SPA 2009, TU Berlin (le 27/07/2009). Bernoulli, 19, 426-461, 2013. Inference on Target Parameters in High Dimensional Linear Models with Long Range Dependent Errors. Séminaire de Probabilités, LPMA, (le 08/03/2011). QASS conference, Queen Mary University London (le 17/06/2009). 6-Sparse recovery under matrix uncertainty Vienna Congress on Mathematical Finance, Vienna, (le 14/09/2016). Mathematical Colloquium, Vienna University, (le 10/01/2018). 64- Market making and incentives design in the presence of a dark pool: a deep reinforcement learning approach. Conference in Memory of Marc Yor, Université Paris 6, (le 04/06/2015). View Matthieu Morvan’s profile on LinkedIn, the world's largest professional community. with Bastien Baldacci, Iuliia Manziuk and Thibaut Mastrolia. Electronic Journal of Statistics, 4, 1300-1323, 2010. Journée des chaires de l'institut Louis Bachelier, Paris, (le 20/10/2017). Princeton University ORFIE seminar, Princeton, (le 17/11/2015). Fees and scholarships. Annals of Finance, 8, 31-48, 2012. with Omar El Euch, Masaaki Fukasawa and Jim Gatheral. Séminaire de la Banque de France, Paris, (le 24/02/2017). 3-First order p-variation and Besov spaces Electonic Communications in Probability, 17, article 25, 2012. Joint IMU-AMS conference, Tel Aviv, (le 16/06/2014). with Peter Tankov. 23-Asymptotically optimal discretization of hedging strategies with jumps 60-From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect. Journée "dépendance", ENGREF Paris (le 05/06/2009). SIAM Journal of Financial Mathematics, 8, p. 854-900, 2017. with Omar El Euch. 2nd Heidelberg-Mannheim Stochastics Colloquium, Heidelberg, (le 26/11/2015). with Khalil Dayri. Séminaire de Probabilités, Université Paris 13, (le 26/03/2014). 55-Optimal liquidity-based trading tactics. 11-Asymptotic results for time-changed Lévy processes sampled at hitting times SIAM Journal of Financial Mathematics, 7, 34-69, 2016. 37-Ergodicity and diffusivity of Markovian order book models: a general framework Workshop "Risk Modelling and High Frequency Data" , TU Munich (le 16/06/2008). IISE Transactions, 50 (9), p. 767-776, 2018. 16-Testing the finiteness of the support of a distribution: a statistical look at Tsirelson's equation Mathieu Rosenbaum, Ecole Polytechnique, France. with Aditi Dandapani and Paul Jusselin. Econophys Kolkata V, Saha Institute of Nuclear Physics, Kolkata (le 09/03/2010). que pourrait contenir cette page personnelle qui est sous la responsabilité de son auteur. Mathematical Finance Seminar, TU Munich, (le 24/03/2011). Candidatures et calendrier des … Séminaire de Statistique, Université Rennes 1, (le 24/06/2011). Groupe de travail de statistique du LPMA, Université Paris 6 (le 03/03/2008). Séminaire Econométrie de la Finance, CREST, (le 23/06/2011). Financial Econometrics Conference, Toulouse School of Economics (le 15/05/2009). 36-How to predict the consequences of a tick value change? Il a par exemple initié des partenariats avec l’entreprise Opta Sports, avec la Ligue de football professionnel et le Paris-Saint Germain avec lequel il a coorganisé le hackathon "Sports Analytics Challenge" en 2019. 63- From microscopic price dynamics to multidimensional rough volatility models. with Thibault Jaisson. 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. CV/resume; Statement of purpose; You will receive an answer in your candidate space within 2 months of the closing date for the application session. 33-The different asymptotic regimes of nearly unstable autoregressive processes Congrès des actuaires, Paris (le 29/06/2009). International Conference on Quantitative Finance, Insurance and Risk-Management, Marrakech, (le 09/10/2014). Swarthmore College, Swarthmore, Pennsylvania, 1965-1969 Westinghouse Science Talent Search Scholarship Phi … Mark Podolskij, Aarhus University, Denmark. 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. Electronic Communications in Probability, 23 (61), p. 1-12, 2018. Mathieu ROSENBAUM - Professeur - bureau 00 3010 Erwan SCORNET - Maître de Conférences - bureau 00 2034 Amandine VEBER - Maître de Conférences - bureau 00 3007 SIAM conference on financial mathematics and engineering, Chicago, (le 14/11/2014). 2-Estimation of the volatility persistence in a discretely observed diffusion model Finance and Stochastics seminar, Imperial College London, (le 15/02/2017).
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