1. Recherche
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hal-01172326v1  Article dans une revue
W. Huang, C.A. Lehalle, M. Rosenbaum. Simulating and analyzing order book data: the queue-reactive model
Journal of the American Statistical Association, Taylor & Francis, 2015, 110 (509), pp.107-122
hal-01109908v1  Communication dans un congrès
M. Hoffmann, M. Labadie, C.-A. Lehalle, G. Pagès, H. Pham et al.  Optimization and statistical methods for high frequency finance
J.-S. Dhersin. Congrès SMAI 2013, 2013, Seignosse le Penon, France. 45, pp.219-229, 2014, ESAIM: Proceedings and Surveys
hal-01263163v1  Chapitre d'ouvrage
T. Jaisson, M. Rosenbaum. The different asymptotic regimes of nearly unstable autoregressive processes
M. Podolskij, R. Stelzer, S. Thorbjornsen, A.E.D. Veraart. The Fascination of Probability, Statistics and their Applications, In Honour of Ole E. Barndorff-Nielsen, Springer, pp.283-301, 2016
hal-01263181v1  Article dans une revue
K. Dayri, M. Rosenbaum. Large tick assets: implicit spread and optimal tick size
Market microstructure and liquidity, World scientific publishing company, 2015, 1 (1), 29 p. 1550003. <http://www.worldscientific.com/toc/mml/01/01>
hal-01261418v1  Chapitre d'ouvrage
J. Jacod, M. Rosenbaum. Estimation of volatility functionals: the case of a √n window
P.K. Friz, J. Gatheral, A. Jacquier, J. Teichmann. Large deviations and asymptotic methods in finance, 110, Springer, pp.559-590, 2015, Springer Proceedings in Mathematics & Statistics
hal-00533272v1  Article dans une revue
A.B. Tsybakov, M. Rosenbaum. Sparse recovery under matrix uncertainty
The Annals of Statistics, IMS, 2010, 38 (5), pp.2620-2651
hal-01108122v1  Article dans une revue
F. Abergel, C.A. Lehalle, M. Rosenbaum. Understanding the stakes of high frequency trading
The Journal of Trading, 2014, 9 (4), pp.49-73
hal-01009756v1  Article dans une revue
M. Rosenbaum, P. Tankov. Asymptotically optimal discretization of hedging strategies with jumps
Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2014, 24 (3), pp.1002-1048
hal-01138784v1  Article dans une revue
T. Jaisson, M. Rosenbaum. Limit theorems for nearly unstable Hawkes processes
Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2015, 25 (2), pp.600-631
hal-00779747v1  Article dans une revue
M. Fukasawa, M. Rosenbaum. Central limit theorems for realized volatility under hitting times of an irregular grid
Stochastic Processes and their Applications, Elsevier, 2012, 122 (12), pp.3901-3920
hal-00835620v1  Article dans une revue
S. Delattre, C.Y. Robert, M. Rosenbaum. Estimating the efficient price from the order flow: A Brownian Cox process approach
Stochastic Processes and their Applications, Elsevier, 2013, 123 (7), pp.2603-2619. <10.1016/j.spa.2013.04.012>
hal-00659609v1  Article dans une revue
M. Rosenbaum, P. Tankov. Asymptotic results for time-changed Lévy processes sampled at hitting times
Stochastic Processes and their Applications, Elsevier, 2011, 121 (7), pp.1607-1632
hal-01108134v1  Article dans une revue
M. Rosenbaum, M. Yor. On the law of a triplet associated with the pseudo-Brownian bridge
Séminaire de Probabilités, Springer-Verlag, 2014, XLVI, pp.359-375
hal-00839153v1  Chapitre d'ouvrage
M. Rosenbaum, A.B. Tsybakov. Improved Matrix Uncertainty selector
M. Banerjee, F. Bunea, J. Huang, V. Koltchinskii, and M. H. Maathuis. From Probability to Statistics and Back: High-Dimensional Models and Processes--A Festschrift in Honor of Jon A. Wellner, Institute of Mathematical Statistics, pp.276-290, 2013, IMS Collections, vol. 9
hal-00705256v1  Article dans une revue
M. Rosenbaum, E. Bacry, M. Hoffmann. Statistical finance at the École Polytechnique, Paris: the informal FIESTA research group
Quantitative Finance, Taylor & Francis (Routledge), 2012, 12 (5), pp.685-689
hal-00659613v1  Article dans une revue
M. Rosenbaum. A new microstructure noise index
Quantitative Finance, Taylor & Francis (Routledge), 2011, 11 (6), pp.883-899
hal-01263172v1  Article dans une revue
M. Rosenbaum, M. Yor. Long time asymptotics for optimal investment
ESAIM: Probability and Statistics, EDP Sciences, 2015, 19, pp.578-589
hal-00705258v1  Article dans une revue
M. Rosenbaum, M. Podolskij. Testing the local volatility assumption: a statistical approach
Annals of Finance, Springer Verlag, 2012, 8 (1), pp.31-48
hal-00863579v1  Article dans une revue
J. Jacod, M. Rosenbaum. Quarticity and other functionals of volatility : Efficient estimation
Annals of Statistics, Institute of Mathematical Statistics, 2013, 41 (3), pp.1462-1484
hal-00718122v1  Article dans une revue
S. Delattre, M. Rosenbaum. Testing the finiteness of the support of a distribution: a statistical look at Tsirelson's equation
Electronic Communications in Probability, Institute of Mathematical Statistics (IMS), 2012, 17 (25), pp.1-7
hal-00839156v1  Article dans une revue
M. Hoffmann, M. Rosenbaum, N. Yoshida. Estimation of the lead-lag parameter from non-synchronous data
Bernoulli, Bernoulli Society for Mathematical Statistics and Probability, 2013, 19 (2), pp.426-461
hal-00659614v1  Article dans une revue
M. Rosenbaum, C.Y. Robert. A New Approach for the Dynamics of Ultra-High-Frequency Data: The Model with Uncertainty Zones
Journal of Financial Econometrics, Oxford University Press (OUP), 2011, 9 (2), pp.344-366

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