Mathieu Rosenbaum

collaborators

2 papers

q-fin.TR2025

Competition and Incentives in a Shared Order Book

RenÃ© AÃ¯d, Philippe Bergault, Mathieu Rosenbaum

Recent regulation on intraday electricity markets has led to the development of shared order books with the intention to foster competition and increase market liquidity. In this p…

math.PR2025

From Hyper Roughness to Jumps as $H \to - 1/2$

Eduardo Abi Jaber, Elie Attal, Mathieu Rosenbaum

We investigate the weak limit of the hyper-rough square-root process as the Hurst index $H$ goes to $- 1/2$ . This limit corresponds to the fractional kernel $t^{H - 1/2}$ losing…

Competition and Incentives in a Shared Order Book

From Hyper Roughness to Jumps as H→−1/2

From Hyper Roughness to Jumps as $H \to - 1/2$