QuantReg

Quantitative Regulation: News and links from the Analytics and Models for Regulation Chair at CMAP – École Polytechnique

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New papers from our group are available today ar @RiskDotNet : https://t.co/vq5sH8Uwod cc @MatRosenbaum

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@MatRosenbaum and @jim_gatheral won Quant of the Year - Risk Awards 2021 ( https://t.co/q6Qy7VXDiR )

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Bastien Baldacci and Iuliia Manziuk won Rising Star in Quant Finance - Risk Awards 2021 ( https://t.co/q6Qy7VXDiR )

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Study of a new market model: AHEAD https://t.co/vljtP3UQXD @AMF_actu @MatRosenbaum

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NUS Quantitative Finance Seminar Series (22 Oct 2020) https://t.co/2ipzPrHxVQ with @MatRosenbaum

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New papers - 2nd half of 2020: https://t.co/rbK0S2cGm7 including @MatRosenbaum

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It’s with great pleasure that we announce that @MatRosenbaum is the winner of the 2020 Louis Bachelier Prize of the @LondMathSoc https://t.co/dDCWYuxqCs

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Please check the video ( https://t.co/4DVbX0Dsnr ) and the paper ( "How to build a cross-impact model from first principles: Theoretical requirements and empirical results" https://t.co/g8zJbBFZcG ) of the recent @thalesians presentation with Mehdi Tomas https://t.co/iWHD9rRT3k

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"Solving the enigma of volatility smiles: Has the problem of jointly calibrating the volatility smiles of the Vix and S&P 500 been solved?" https://t.co/9oySeaiIA0 at @RiskDotNet w/different approaches by (i) @julienguyon1977 and (ii) @MatRosenbaum @jim_gatheral and Paul Jusselin

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“The quadratic rough Heston model and the joint S&P 500/Vix smile calibration problem” by @jim_gatheral Paul Jusselin and @MatRosenbaum published by @RiskCuttingEdge @RiskDotNet https://t.co/qDrkU8cWt4

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Mathieu Rosenbaum ( @MatRosenbaum ) will present "Super-Heston rough volatility, Zumbach effect and the Guyon's conjecture" on Apr 23: https://t.co/NTQWtTmqGv Reference paper: https://t.co/roAHj3I8Tx

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New paper: How to build a cross-impact model from first principles: Theoretical requirements and empirical results https://t.co/20REcSf0QI

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Not-so-new paper: From microscopic price dynamics to multidimensional rough volatility models https://t.co/lwha7BdigY

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New paper: “Optimal market making with persistent order flow” by Paul Jusselin: https://t.co/6x3n4hX5Cc

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Othmane Mounjid ( https://t.co/M2rAFLLzRh ) presents his thesis defence: https://t.co/ULw6eOC2Mn

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Link to the Risk column here: https://t.co/nOXvtT1Ia0

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Congratulations to Blanka Horvath, Aitor Muguruza and Mehdi Tomas ( https://t.co/iWHD9rRT3k ) for the Rising Stars award ( https://t.co/3KBhWcxlLH @RiskDotNet ) based on the paper Deep Learning Volatility ( https://t.co/0ay5krw7T7 ).

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Congratulations to Blanka Horvath, Aitor Muguruza and Mehdi Tomas ( https://t.co/iWHD9rRT3k ) for the Rising Stars award ( https://t.co/3KBhWcxlLH @RiskDotNet ) based on the paper Deep Learning Volatility ( https://t.co/0ay5krw7T7 ).

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New paper: Improving reinforcement learning algorithms: towards optimal learning rate policies
by Othmane Mounjid and Charles-Albert Lehalle
https://t.co/brit4Dhy5z

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New publication from @AMF_France_News : Growing importance of the closing auction in share trading volumes https://t.co/Utu1NZTXLw

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@katjaserikova Congratulations!