8 citations · 12 across the 4 of their papers we have counts for
4 papers
The microstructural foundations of leverage effect and rough volatility
El Euch Omar, Fukasawa Masaaki, Rosenbaum Mathieu
We show that typical behaviors of market participants at the high frequency scale generate leverage effect and rough volatility. To do so, we build a simple microscopic model for t…
An -Regularization Approach to High-Dimensional Errors-in-variables Models
Alexandre Belloni, Mathieu Rosenbaum, Alexandre B. Tsybakov
Several new estimation methods have been recently proposed for the linear regression model with observation error in the design. Different assumptions on the data generating proces…
Optimal discretization of hedging strategies with directional views
Jiatu Cai, Masaaki Fukasawa, Mathieu Rosenbaum +1
We consider the hedging error of a derivative due to discrete trading in the presence of a drift in the dynamics of the underlying asset. We suppose that the trader wishes to find…
Testing the finiteness of the support of a distribution: a statistical look at Tsirelson's equation
Sylvain Delattre, Mathieu Rosenbaum
We consider the following statistical problem: based on an i.i.d.sample of size n of integer valued random variables with common law m, is it possible to test whether or not the su…