Optimal Auction Duration: A Price Formation Viewpoint

Autor: Mathieu Rosenbaum, Thibaut Mastrolia, Paul Jusselin

Publikováno v: Operations Research. 69:1734-1745

We consider an auction market in which market makers fill the order book during a given time period while some other investors send market orders. We define the clearing price of the auction as the price maximizing the exchanged volume at the clearin

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dd0a2f86821f7c4745af6c336fcc58bd
https://doi.org/10.1287/opre.2021.2113

Optimal market making with persistent order flow

Autor: Paul Jusselin

\noindent We address the issue of market making on electronic markets when taking into account the clustering and long memory properties of market order flows. We consider a market model with one market maker and order flows driven by general Hawkes

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c0f0237a8067fcca04f3369992ff54ea
http://arxiv.org/abs/2003.05958

The Quadratic Rough Heston Model and the Joint S&P 500/VIX Smile Calibration Problem

Autor: Mathieu Rosenbaum, Jim Gatheral, Paul Jusselin

Publikováno v: SSRN Electronic Journal.

Fitting simultaneously SPX and VIX smiles is known to be one of the most challenging problems in volatility modeling. A long-standing conjecture due to Julien Guyon is that it may not be possible to calibrate jointly these two quantities with a model

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https://doi.org/10.2139/ssrn.3514894

From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect

Autor: Aditi Dandapani, Paul Jusselin, Mathieu Rosenbaum

Publikováno v: Quantitative Finance

Using microscopic price models based on Hawkes processes, it has been shown that under some no-arbitrage condition, the high degree of endogeneity of markets together with the phenomenon of metaorders splitting generate rough Heston-type volatility a

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A Fanning Scheme for the Parallel Transport along Geodesics on Riemannian Manifolds

Autor: Maxime Louis, Susovan Pal, Stanley Durrleman, Paul Jusselin, Benjamin Charlier

Publikováno v: SIAM Journal on Numerical Analysis
SIAM Journal on Numerical Analysis, Society for Industrial and Applied Mathematics, 2018, 56 (4), pp.2563-2584. ⟨10.1137/17M1130617⟩
SIAM Journal on Numerical Analysis, 2018, 56 (4), pp.2563-2584. ⟨10.1137/17M1130617⟩

International audience; Parallel transport on Riemannian manifolds allows one to connect tangent spaces at different points in an isometric way and is therefore of importance in many contexts, such as for statistics on manifolds. The existing methods

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