Mathieu Rosenbaum

Publication Activity (10 Years)

Years Active: 2010-2023
Publications (10 Years): 15

Top Topics

Mathematical Framework

Age Related Macular Degeneration

Transfer Learning

Top Venues

SIAM J. Financial Math.

Finance Stochastics

Publications

Haoyang Cao, Haotian Gu, Xin Guo, Mathieu Rosenbaum
Transfer Learning for Portfolio Optimization. CoRR (2023)
Jianfei Zhang, Mathieu Rosenbaum
Towards systematic intraday news screening: a liquidity-focused approach. CoRR (2023)
Haoyang Cao, Haotian Gu, Xin Guo, Mathieu Rosenbaum
Risk of Transfer Learning and its Applications in Finance. CoRR (2023)
Haoyang Cao, Haotian Gu, Xin Guo, Mathieu Rosenbaum
Feasibility and Transferability of Transfer Learning: A Mathematical Framework. CoRR (2023)
Bastien Baldacci, Iuliia Manziuk, Thibaut Mastrolia, Mathieu Rosenbaum
Market Making and Incentives Design in the Presence of a Dark Pool: A Stackelberg Actor-Critic Approach. Oper. Res. 71 (2) (2023)
Bastien Baldacci, Philippe Bergault, Joffrey Derchu, Mathieu Rosenbaum
On Bid and Ask Side-Specific Tick Sizes. SIAM J. Financial Math. 14 (4) (2023)
Mathieu Rosenbaum, Jianfei Zhang
On the universality of the volatility formation process: when machine learning and rough volatility agree. CoRR (2022)
Qinkai Chen, Mohamed El-Mennaoui, Antoine Fosset, Amine Rebei, Haoyang Cao, Philine Bouscasse, Christy Eóin O'Beirne, Sasha Shevchenko, Mathieu Rosenbaum
Towards mapping the contemporary art world with ArtLM: an art-specific NLP model. CoRR (2022)
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
Docent: A content-based recommendation system to discover contemporary art. CoRR (2022)
Bastien Baldacci, Dylan Possamaï, Mathieu Rosenbaum
Optimal Make-Take Fees in a Multi Market-Maker Environment. SIAM J. Financial Math. 12 (1) (2021)
Paul Jusselin, Thibaut Mastrolia, Mathieu Rosenbaum
Optimal Auction Duration: A Price Formation Viewpoint. Oper. Res. 69 (6) (2021)
Omar El Euch, Masaaki Fukasawa, Jim Gatheral, Mathieu Rosenbaum
Short-Term At-the-Money Asymptotics under Stochastic Volatility Models. SIAM J. Financial Math. 10 (2) (2019)
Omar El Euch, Masaaki Fukasawa, Mathieu Rosenbaum
The microstructural foundations of leverage effect and rough volatility. Finance Stochastics 22 (2) (2018)
Weibing Huang, Mathieu Rosenbaum
Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework. SIAM J. Financial Math. 8 (1) (2017)
Jiatu Cai, Masaaki Fukasawa, Mathieu Rosenbaum, Peter Tankov
Optimal Discretization of Hedging Strategies with Directional Views. SIAM J. Financial Math. 7 (1) (2016)
Christian Y. Robert, Mathieu Rosenbaum
On the limiting spectral distribution of the covariance matrices of time-lagged processes. J. Multivar. Anal. 101 (10) (2010)
Christian Y. Robert, Mathieu Rosenbaum
On the Microstructural Hedging Error. SIAM J. Financial Math. 1 (1) (2010)