Concepedia

Mathieu Rosenbaum

MR

20

Publications

879

Citations

14

H-Index

2007

Active since

Affiliations

École Polytechnique(Current)

Centre de Recherche en Économie et Statistique

Sorbonne Université

Baruch College

ENSAE Paris

Mathieu Rosenbaum is an author at École Polytechnique specializing in asset pricing, business, and finance.

ORCID

Top concepts

Publications per year

2007–2024

20

Publications

20

Sparse recovery under matrix uncertainty

Mathieu Rosenbaum, Alexandre B. Tsybakov · The Annals of Statistics · 2010 · 184 citations · Full text

The microstructural foundations of leverage effect and rough volatility

Omar El Euch, Masaaki Fukasawa, Mathieu Rosenbaum · Finance and Stochastics · 2018 · 131 citations · Full text

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Simulating and Analyzing Order Book Data: The Queue-Reactive Model

Weibing Huang, Charles‐Albert Lehalle, Mathieu Rosenbaum · Journal of the American Statistical Association · 2014 · 128 citations

Large Tick Assets: Implicit Spread and Optimal Tick Size

Khalil Al Dayri, Mathieu Rosenbaum · Market Microstructure and Liquidity · 2015 · 68 citations · Full text

, , +15

Linear and Conic Programming Estimators in High-Dimensional Errors-in-variables Models

Alexandre Belloni, Mathieu Rosenbaum, Alexandre B. Tsybakov · arXiv (Cornell University) · 2014 · 64 citations · Full text

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