27-Estimation of volatility functionals: the case of a square root n window Mathematical Finance seminar, Osaka University, (le 21/02/2012). Joint IMU-AMS conference, Tel Aviv, (le 16/06/2014). with Marc Yor. hal-01393110 Séminaire de Statistiques du CREST, Paris, (le 23/01/2017). "European Summer School in Financial Mathematics", Paris 24-29 août 2009, Paris 23-27 août 2010, Zurich 5-9 septembre 2011 et des conférences. From Probability to Statistics and Back: High-Dimensional Models and Processes; A Festschrift in Honor of Jon A. Wellner, IMS Collections, 9, 276-290, 2013. "Market Microstructure, Confronting Many Viewpoints", Paris, 6-10 décembre 2010, Séminaire de Probabilités et Statistiques, Université du Mans (le 11/12/2008). Working paper, 2018. with Marc Yor. Mathieu Rosenbaum & Peter Tankov, 2011. Statistics seminar, Hebrew University, (le 28/03/2016). Financial Econometrics conference, TSE, (le 17/05/2013). Opening meeting of the DFG Research Training Group, Berlin, (le 17/11/2012). CFE conference, Pisa, (le 06/12/2014). Mathieu Rosenbaum is a full-time professor at Ecole Polytechnique, where he holds the chair “Analytics and Models for Regulation”. with Sophie Laruelle and Emel Savku. Financial Econometrics Conference, Imperial College London (le 17/05/2008). Groupe de travail « Méthodes Stochastiques et Finance», LAMA, Université de Marne-La-Vallée (le 09/12/2005). Consultez le profil complet sur LinkedIn et découvrez les relations de ZHANG, ainsi que des emplois dans des entreprises similaires. The Annals of Applied Probability, 25, 600-631, 2015. 28th European Meeting of Statisticians, Le Pirée, (le 18/08/2010). with Alexandre Belloni, Victor Chernozhukov, Abhishek Kaul and Alexandre Tsybakov. VMS-SMF Joint Congress, Hue, (le 21/08/2012). Conference Stochatic Modeling, Verona, (le 19/12/2017). Mathematical Finance, 22, 133-164, 2012. "Swing Options Valuation:a BSDE with Constrained Jumps Approach," Working Papers hal-00553356, HAL. In particular, he is one of the organizers of the conference “Market Microstructure, Confronting Many Viewpoints“, which takes place every two years in Paris. with Laurent Duvernet and Christian Y. Robert. with Christian Y. Robert. 17-Central limit theorems for realized volatility under hitting times of an irregular grid P. Jusselin, T. Mastrolia, M. Rosenbaum. 1-Weak dependence for infinite ARCH-type bilinear models Séminaire parisien de statistique, Paris (le 17/09/2007). 38-Linear and conic programming estimators in high-dimensional errors-in-variables models Advanced financial technologies seminar, Stanford University, (le 09/11/2017). 4-Integrated volatility and round off error 12-A new approach for the dynamics of ultra high frequency data: the model with uncertainty zones Workshop Stochastic Analysis in Finance and Insurance, Oberwolfach, (04-10/05/2014). The Annals of Applied Probability, 24, 1002-1048, 2014. Séminaire de finance-assurance du laboratoire de finance du CREST (le 06/12/2007). (2018)).We refer to Sorensen et al. with Khalil Dayri. Mathematical Colloquium, Vienna University, (le 10/01/2018). with Charles-Albert Lehalle, Nicolas Megarbane and Pamela Saliba. Oxford-Mann stochastic analysis seminar, Oxford, (le 19/10/2015). Quantitative Finance retrospective workshop, Fields Institute Toronto, (le 27/10/2013) with Masaaki Fukasawa. Responsable de la chaire Analytics and Models for Regulation.. Co-responsable du Master Probabilité et Finance.. Professeur à l'Université Pierre et Marie Curie, Paris 6, Laboratoire de Probabilités et Modèles Aléatoires (LPMA) (2011-2016). Dealing with the Inventory Risk. Workshop on Mathematical Finance and Related Issues, Kyoto, (le 05/09/2012). with Alexandre Tsybakov. of Minnesota, Morris SIAM Journal on Financial Mathematics, 1, 427-453, 2010. SIAM Journal of Financial Mathematics, 8, p. 854-900, 2017. 10th European Summer School in Financial Mathematics, Dresden, (Août 2017). International Conference on Stochastic Analysis and Applications, Hammamet, (le 11/10/2011). Mathematical Statistics Seminar, WIAS Berlin, (le 02/02/2011). Séminaire de Statistiques, Université Toulouse 1, (le 17/05/2011). Encadrant avec Charles-Albert Lehalle du mémoire "Mesures de dépendances haute fréquence entre actifs financiers", par Aminata Dieye, Nicolas Huth, Sophie Genest et Matthieu Lasnier, Prix ASTEC du meilleur groupe de travail ENSAE en statistique ou finance 2007/2008. 10, No. Séminaire de Probabilités XLVI, 359-375, 2014. ZHANG a 2 postes sur son profil. 47-Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint Séminaire de Probabilités et Statistiques, Université du Mans, (le 05/01/2012). Risk management seminar, University of Berkeley, (le 07/11/2017). "Market Microstructure, Confronting Many Viewpoints 4", Paris, 6-9 décembre 2016. Statistique des modèles financiers et mathématiques financières, données haute fréquence, microstructure des marchés, économétrie de la finance, modèles à volatilité stochastique, mouvement brownien fractionnaire, mémoire longue, espaces de Besov et estimation par ondelettes, sparsité, matrices aléatoires. SIAM conference on financial mathematics and engineering, Austin, (le 18/11/2016). Journal of the Royal Statistical Society (B), 79 (3), p. 939-956, 2017. Finance research seminar, University of St Gallen, (le 24/10/2017). Curriculum Vitae Resume Professor of economics at Paris-Dauphine University since 2016 and lecturer at the Ecole Polytechnique since 2015. Furthermore, he is managing editor for “Quantitative Finance” and associate editor for “Electronic Journal of Statistics”, “Journal of Applied Probability”, “Mathematical Finance”,  “Mathematics and Financial Economics”, “Statistical Inference for Stochastic Processes”, “SIAM Journal in Financial Mathematics”, “Springer Briefs” and “Statistics and Risk Modeling”. 9-The model with uncertainty zones for ultra high frequency prices and durations; Séminaire de statistique, CEREMADE, Université Paris Dauphine (le 21/03/2008). with Omar El Euch, Thibaut Mastrolia and Nizar Touzi. preparation : 7. Stochastic Analysis and Mathematical Finance - A Fruitful Partnership , Oaxaca, (le 24/05/2016). Séminaire Européen de Statistique 2007. High Frequency Financial Econometrics Workshop, Barcelona, (le 11/06/2015). Ana Galvao, University of Warwick, United Kingdom. In fact, REM can be used to extract relevant information about … To appear in Quantitative Finance, 2019. with Omar El Euch and Jim Gatheral. Editeur Associé de Advances in Applied Probability, Electronic Journal of Statistics, Journal of Applied Probability., Mathematical Finance, Mathematics and Financial Economics, Statistical Inference for Stochastic Processes, SIAM Journal in Financial Mathematics, Springer Briefs Statistics and Risk Modeling. with Christian Y. Robert. arXiv … 2009/2010-2010/2011 : Cours de Mathématiques Financières à l'Université de Fudan à Shanghai and Mathieu Rosenbaum. Evidence from the Tokyo Stock Exchange pilot program, Large tick assets: implicit spread and optimal tick size, Simulating and analyzing order book data: The queue-reactive model, Understanding the stakes of high frequency trading, Limit theorems for nearly unstable Hawkes processes, Estimating the efficient price from the order flow: a Brownian Cox process approach, A new approach for the dynamics of ultra high frequency data: the model with uncertainty zones, Volatility Estimation under Endogenous Microstructure Noise. Conference High Frequency Trading, Curse or Blessing ?, University of Vienna, (le 23/09/2016). (2018) for the details of this algorithm.. with Emmanuel Bacry and Marc Hoffmann. Financial Econometrics Conference, Université Toulouse 1, (le 22/05/2015). Responsable de la chaire Analytics and Models for Regulation. Guidelines and recommendations developed and/or endorsed by the American College of Rheumatology are intended to provide guidance for particular patterns of practice and not to dictate the care of a particular patient. Séminaire Econométrie de la Finance, CREST, (le 23/06/2011). Identifying Microbial Interactions with Growth Patterns in Infants, ... Abhishek Kaul, Curriculum Vitae … Stochastic Analysis and Statistical Inference V, University of Tokyo (le 22/02/2010). Co-responsable avec Nicole El Karoui, Emmanuel Gobet et Gilles Pagès du Master 2 Probabilités et Finance, UPMC et Ecole Polytechnique. Journée des chaires de l'institut Louis Bachelier, Paris, (le 20/10/2017). Working paper, 2018. with Weibing Huang and Pamela Saliba. This GMU Lasso is implemented in hdme, and can be called with the function gmu_lasso.The snippet below shows its use. with Peter Tankov. Global Derivatives, Budapest, (le 11/05/2016). with Jean Jacod. 7th European summer school in financial mathematics, Oxford, (le 04/09/2014). Working paper, 2019. 15-Statistical finance at the École Polytechnique, Paris: the informal FIESTA research group 40-Asymptotic optimal tracking: feedback strategies The Fascination of Probability, Statistics and their Applications, In Honour of Ole E. Barndorff-Nielsen, Springer, 283-301, 2016. 30-Random scaling and sampling of Brownian motion Financial Econometrics and Vast Data Conference, Oxford-Man Institute of Quantitative Finance (le 16/09/2008). Stochastic Colloquium, Göttingen Universität, (le 09/02/2011). with Weibing Huang and Charles-Albert Lehalle. The subject is disturbing, and yet Varda treats it with a rare sympathy and empathy, perhaps inspired by the fact that the boy in the film is played by her own son, Mathieu Demy. 42-The microstructural foundations of leverage effect and rough volatility Bernoulli, 19, 426-461, 2013. Statistique Asymptotique des Processus Stochastiques VII , Université du Mans (le 17/03/2009). Groupe de travail Probabilités-Statistiques-Contrôle, ENSTA, (le 11/04/2016). Optimization and Equilibrium, Two-days Workshop (by invitation) - Concepci on - Chile (April 2017). Mark Podolskij, Aarhus University, Denmark. Mathematical Finance, 29 (1), p. 3-38, 2019. 24-On the law of a triplet associated with the pseudo-Brownian bridge This effort is substantially extended, edited and updated. with Charles-Albert Lehalle and Othmane Mounjid. Cet ouvrage de cours synthétique traite l'ensemble des items de cardiologie du programme de DCEM2-DCEM4.Chaque chapitre, consacré à un item, est rédigé suivant un plan identique, original, clair et très didactique qui facilite l'apprentissage. Analytics and Models for Regulation at CMAP – École Polytechnique. Workshop The Mathematics of High Frequency Financial Markets, IPAM-UCLA, (le 16/04/2015). To appear in Operations Research. Working paper, 2019. Atelier Trading et Microstructure, Collège de France (le 10/12/2008). Chaque item comprend les éléments systématiques suivants : "Le centre de la Recherche en Économie et Statistique ne peut être tenu responsable pénalement des infractions aux lois Séminaire de Statistiques du CREST, (le 23/01/2017). Séminaire de Statistique, Université Rennes 1, (le 24/06/2011). Groupe de travail « Probabilités Numériques et Finance », LPMA, Université Paris 6 (le 27/03/2008). Professeur Chargé de Cours à l'Ecole Polytechnique, Centre de Mathématiques Appliquées (CMAP)  (2011-2016). Working paper, 2019. Workshop Statistics for Stochastic Processes, University of Tokyo, (le 23/02/2011). Ever since, the focus on REM has expanded because of its potential applicability in telecommunications. After being Assistant Professor at École Polytechnique, he became Professor at University Pierre et Marie Curie (Paris 6) in 2011. London Mathematical Finance Seminar, University College London, (le 12/02/2015). Electonic Communications in Probability, 17, article 25, 2012. Séminaire INRIA, équipe TOSCA, Sophia Antipolis, (le 23/05/2012). with Jiatu Cai and Peter Tankov. Séminaire du Laboratoire de Statistique Théorique et Appliquée (LSTA), Université Paris 6 (le 28/01/2008). 8. with Christian Y. Robert. 18-Improved matrix uncertainty selector A “lasso equivalent” of the Generalized Matrix Uncertainty Selector can also be defined (Rosenbaum and Tsybakov (2010), Sorensen et al. with Bastien Baldacci and Dylan Possamai. World Statistics Congress, Hong Kong, (le 30/08/13). James T. Rosenbaum (born September 29, 1949) is an American physician-scientist who is Chief of Ophthalmology emeritus at the Legacy Devers Eye Institute, Portland, Oregon, where he held the Richard Chenoweth Chair, and Chief of Arthritis and Rheumatic Diseases at the Oregon Health & Science University where he holds the Edward E Rosenbaum Professorship in Inflammation Research. Global Derivatives, Barcelona, (le 10/05/2017). Mathematical Finance seminar, University of Vienna, (le 20/03/2014). Finance Seminar, University of Geneva, (le 11/02/2016). 14-Testing the local volatility assumption: a statistical approach Journée "dépendance", ENGREF Paris (le 05/06/2009). The Annals of Statistics, 41, 1462-1484, 2013. After being Assistant Professor at École Polytechnique, he became … with Aditi Dandapani and Paul Jusselin. Journal of the American Statistical Association, 110, 107-122, 2015. plaintiff: jerry goldstein, joel honegger, michael mathieu, onofrio pecoraro, howard rice, michael rosenbaum, birchwood capital advisors, inc. and pto acquisition, inc.