63 citations · 157 across the 23 of their papers we have counts for
4 papers · 1 filter
The Zumbach effect under rough Heston
Omar El Euch, Jim Gatheral, Radoš Radoičić +1
Previous literature has identified an effect, dubbed the Zumbach effect, that is nonzero empirically but conjectured to be zero in any conventional stochastic volatility model. Ess…
No-arbitrage implies power-law market impact and rough volatility
Paul Jusselin, Mathieu Rosenbaum
Market impact is the link between the volume of a (large) order and the price move during and after the execution of this order. We show that under no-arbitrage assumption, the mar…
Optimal make-take fees for market making regulation
Omar El Euch, Thibaut Mastrolia, Mathieu Rosenbaum +1
We consider an exchange who wishes to set suitable make-take fees to attract liquidity on its platform. Using a principal-agent approach, we are able to describe in quasi-explicit…
Optimal liquidity-based trading tactics
Charles-Albert Lehalle, Othmane Mounjid, Mathieu Rosenbaum
We consider an agent who needs to buy (or sell) a relatively small amount of asset over some fixed short time interval. We work at the highest frequency meaning that we wish to fin…