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6-10 December 2021
Hotel Fairmont Barcelona Rey Juan Carlos IBarcelona

Mathieu Rosenbaum
Resident Professor at Ecole Polytechnique

Profile

Mathieu Rosenbaum is a full-time professor at Ecole Polytechnique, where he holds the chair “Analytics and Models for Regulation”. 

He obtained his PhD from University Paris-Est in 2007. After being Assistant Professor at École Polytechnique, he became Professor at University Pierre et Marie Curie (Paris 6) in 2011.
Mathieu’s research mainly focuses on statistical finance problems, such as market microstructure modelling or designing statistical procedures for high frequency data and on regulatory issues, especially in the context of high frequency trading. In particular, he is one of the organizers of the conference “Market Microstructure, Confronting Many Viewpoints“, which takes place every two years in Paris. Mathieu has collaborations with various financial institutions, notably BNP-Paribas since 2004. He is one of the editors in chief of the journal “Market Microstructure and Liquidity”, 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”. He received the Europlace Award for Best Young Researcher in Finance in 2014 and the European Research Council Grant in 2015. He also received the 2020 Louis Bachelier Prize. Alongside Jim Gatheral, Mathieu won Quant of the Year – Risk Awards in 2021.



Agenda Sessions

  • Rough Volatility

    16:00
  • Recent advances in quantitative financial regulation

    08:30