189 citations · 697 across the 47 of their papers we have counts for
7 papers · 1 filter
Simulating and analyzing order book data: The queue-reactive model
Weibing Huang, Charles-Albert Lehalle, Mathieu Rosenbaum
Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with…
Some explicit formulas for the Brownian bridge, Brownian meander and Bessel process under uniform sampling
Mathieu Rosenbaum, Marc Yor
We show that simple explicit formulas can be obtained for several relevant quantities related to the laws of the uniformly sampled Brownian bridge, Brownian meander and three dimen…
On the law of a triplet associated with the pseudo-Brownian bridge
Mathieu Rosenbaum, Marc Yor
We identify the distribution of a natural triplet associated with the pseudo-Brownian bridge. In particular, for a Brownian motion and its first hitting time of the level…
On the expectation of normalized Brownian functionals up to first hitting times
Romuald Elie, Mathieu Rosenbaum, Marc Yor
Let B be a Brownian motion and T its first hitting time of the level 1. For U a uniform random variable independent of B, we study in depth the distribution of T^{-1/2}B_{UT}, that…
Limit theorems for nearly unstable Hawkes processes
Thibault Jaisson, Mathieu Rosenbaum
Because of their tractability and their natural interpretations in term of market quantities, Hawkes processes are nowadays widely used in high-frequency finance. However, in pract…
Estimation of the lead-lag parameter from non-synchronous data
M. Hoffmann, M. Rosenbaum, N. Yoshida
We propose a simple continuous time model for modeling the lead-lag effect between two financial assets. A two-dimensional process reproduces a lead-lag effect if, for…