Mathieu Rosenbaum

1.1k total citations
33 papers, 417 citations indexed

About

Mathieu Rosenbaum is a scholar working on Finance, Economics and Econometrics and Management Science and Operations Research. According to data from OpenAlex, Mathieu Rosenbaum has authored 33 papers receiving a total of 417 indexed citations (citations by other indexed papers that have themselves been cited), including 25 papers in Finance, 21 papers in Economics and Econometrics and 4 papers in Management Science and Operations Research. Recurrent topics in Mathieu Rosenbaum's work include Financial Risk and Volatility Modeling (17 papers), Complex Systems and Time Series Analysis (17 papers) and Stochastic processes and financial applications (14 papers). Mathieu Rosenbaum is often cited by papers focused on Financial Risk and Volatility Modeling (17 papers), Complex Systems and Time Series Analysis (17 papers) and Stochastic processes and financial applications (14 papers). Mathieu Rosenbaum collaborates with scholars based in France, United States and United Kingdom. Mathieu Rosenbaum's co-authors include Alexandre B. Tsybakov, Charles‐Albert Lehalle, Omar El Euch, Masaaki Fukasawa, Alexandre Belloni, Jim Gatheral, Peter Tankov, Marc Hoffmann, Frédéric Abergel and Christian Y. Robert and has published in prestigious journals such as SHILAP Revista de lepidopterología, Journal of the American Statistical Association and Operations Research.

In The Last Decade

Mathieu Rosenbaum

30 papers receiving 397 citations

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name h Career Trend Papers Cites
Mathieu Rosenbaum France 10 240 151 92 57 53 33 417
Frédéric Lavancier France 9 60 0.3× 58 0.4× 100 1.1× 9 0.2× 18 0.3× 26 276
Hongzhi An China 9 101 0.4× 65 0.4× 154 1.7× 14 0.2× 25 0.5× 27 344
Hongwei Long United States 11 277 1.2× 93 0.6× 94 1.0× 7 0.1× 45 0.8× 37 365
Aleksandar Mijatović United Kingdom 11 352 1.5× 116 0.8× 33 0.4× 12 0.2× 83 1.6× 65 453
Nikolai Dokuchaev Australia 9 324 1.4× 176 1.2× 12 0.1× 12 0.2× 107 2.0× 97 416
Xiaoli Wei China 8 131 0.5× 33 0.2× 24 0.3× 16 0.3× 50 0.9× 20 252
Claire Lacour France 9 59 0.2× 12 0.1× 182 2.0× 19 0.3× 22 0.4× 21 255
Guillaume Carlier France 11 37 0.2× 69 0.5× 34 0.4× 31 0.5× 48 0.9× 36 315
Marian Hristache France 6 50 0.2× 50 0.3× 325 3.5× 18 0.3× 30 0.6× 8 385
Jinniao Qiu Canada 9 133 0.6× 23 0.2× 14 0.2× 25 0.4× 46 0.9× 26 221

Countries citing papers authored by Mathieu Rosenbaum

Since Specialization
Citations

This map shows the geographic impact of Mathieu Rosenbaum's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Mathieu Rosenbaum with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Mathieu Rosenbaum more than expected).

Fields of papers citing papers by Mathieu Rosenbaum

Since Specialization
Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Mathieu Rosenbaum. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Mathieu Rosenbaum. The network helps show where Mathieu Rosenbaum may publish in the future.

Co-authorship network of co-authors of Mathieu Rosenbaum

This figure shows the co-authorship network connecting the top 25 collaborators of Mathieu Rosenbaum. A scholar is included among the top collaborators of Mathieu Rosenbaum based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Mathieu Rosenbaum. Mathieu Rosenbaum is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

20 of 20 papers shown
1.
2.
Hoffmann, Marc, et al.. (2024). Statistical inference for rough volatility: Minimax theory. The Annals of Statistics. 52(4). 2 indexed citations
3.
Rosenbaum, Mathieu, et al.. (2024). Forecasting volatility with machine learning and rough volatility: example from the crypto-winter. RePEc: Research Papers in Economics. 6(4). 639–655.
4.
Hillairet, Caroline, Anthony Réveillac, & Mathieu Rosenbaum. (2023). An expansion formula for Hawkes processes and application to cyber-insurance derivatives. Stochastic Processes and their Applications. 160. 89–119. 3 indexed citations
5.
Rosenbaum, Mathieu, et al.. (2023). On Bid and Ask Side-Specific Tick Sizes. SIAM Journal on Financial Mathematics. 14(4). 1215–1248.
6.
Rosenbaum, Mathieu, et al.. (2021). A characterisation of cross-impact kernels. SSRN Electronic Journal. 2 indexed citations
7.
Rosenbaum, Mathieu, et al.. (2018). Assessing MiFID 2 Regulation on Tick Sizes: A Transaction Costs Analysis Viewpoint. SSRN Electronic Journal. 2 indexed citations
8.
Euch, Omar El, Masaaki Fukasawa, & Mathieu Rosenbaum. (2018). The microstructural foundations of leverage effect and rough volatility. Finance and Stochastics. 22(2). 241–280. 70 indexed citations
9.
Lehalle, Charles‐Albert, et al.. (2017). The Behaviour of High-Frequency Traders Under Different Market Stress Scenarios. SSRN Electronic Journal. 4 indexed citations
10.
Belloni, Alexandre, Mathieu Rosenbaum, & Alexandre B. Tsybakov. (2016). An $\{\ell_{1},\ell_{2},\ell_{\infty}\}$-regularization approach to high-dimensional errors-in-variables models. Electronic Journal of Statistics. 10(2). 6 indexed citations
11.
Lehalle, Charles‐Albert, et al.. (2015). How to Predict the Consequences of a Tick Value Change? Evidence from the Tokyo Stock Exchange Pilot Program. SSRN Electronic Journal. 3 indexed citations
12.
Rosenbaum, Mathieu, et al.. (2015). Large Tick Assets: Implicit Spread and Optimal Tick Size. arXiv (Cornell University). 1(1). 1550003–1550003. 33 indexed citations
13.
Belloni, Alexandre, Mathieu Rosenbaum, & Alexandre B. Tsybakov. (2014). Linear and Conic Programming Estimators in High-Dimensional Errors-in-variables Models. arXiv (Cornell University). 31 indexed citations
14.
Lehalle, Charles‐Albert, et al.. (2014). Simulating and Analyzing Order Book Data: The Queue-Reactive Model. Journal of the American Statistical Association. 110(509). 107–122. 60 indexed citations
15.
Gatheral, Jim, et al.. (2014). Volatility is Rough. SSRN Electronic Journal. 18 indexed citations
16.
Rosenbaum, Mathieu, et al.. (2012). Volatility and covariation estimation when microstructure noise and trading times are endogenous. HAL (Le Centre pour la Communication Scientifique Directe). 4 indexed citations
17.
Delattre, Sylvain & Mathieu Rosenbaum. (2012). Testing the finiteness of the support of a distribution: a statistical look at Tsirelson's equation. Electronic Communications in Probability. 17(none). 1 indexed citations
18.
Rosenbaum, Mathieu & Peter Tankov. (2011). Asymptotic results for time-changed Lévy processes sampled at hitting times. Stochastic Processes and their Applications. 121(7). 1607–1632. 9 indexed citations
19.
Rosenbaum, Mathieu. (2010). A new microstructure noise index. Quantitative Finance. 11(6). 883–899. 17 indexed citations
20.
Doukhan, Paul, et al.. (2007). Weak dependence for infinite ARCH-type bilinear models. Statistics. 41(1). 31–45. 6 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

Explore authors with similar magnitude of impact

Breakdown of academic impact, for papers by Frédéric Lavancier Breakdown of academic impact, for papers by Hongzhi An Breakdown of academic impact, for papers by Hongwei Long Breakdown of academic impact, for papers by Aleksandar Mijatović Breakdown of academic impact, for papers by Nikolai Dokuchaev Breakdown of academic impact, for papers by Xiaoli Wei Breakdown of academic impact, for papers by Claire Lacour Breakdown of academic impact, for papers by Guillaume Carlier Breakdown of academic impact, for papers by Marian Hristache Breakdown of academic impact, for papers by Jinniao Qiu
Rankless by CCL
2026