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[Summer series] Mathieu Rosenbaum - Stock ace

Mathieu Rosenbaum, from École Polytechnique’s Center of Applied Mathematics, focuses on the behavior of agents in financial markets, and in particular on regulation.

©Silvère Leprovost

The atmosphere at Mathieu Rosenbaum’s office at École Polytechnique’s Center of Applied Mathematics is very different from that of the floor of a trading room, even though he devotes his research to statistical finance, be it on a blackboard or on his computer. From his early interest, which centered primarily on the theoretical aspect of financial mathematics, he soon shifted his focus to questions related to the behavior of agents in financial markets, and in particular to regulation.

“Regulatory matters are traditionally the domain of economists. But modern issues require quantitative answers that necessitate financial engineering and sophisticated mathematical tools,” says the researcher. Using statistical modeling and methodology, he developed, for example, a method to choose the tick size, that is the smallest price increment allowed between transactions, in an optimal way. His analysis serves to ensure smooth market functioning in the presence of high frequency traders passing a large number of orders in a very short time. For his work, he collaborates with financial regulatory bodies, such as the Autorité des marchés financiers (AMF) in France or the Japanese financial agency, but also with market platforms, banks, and investment funds. “On regulatory matters, it is important to hear the views of all participants in the market,” says Rosenbaum. In light of this research, the mathematician has analyzed the pilot project for a tick value change undertaken by the Tokyo Stock Exchange since 2014, and has demonstrated the accuracy of the predictions achieved thanks to his quantitative approach.

While Mathieu Rosenbaum has always loved mathematics, it is this practical aspect that motivated his move to statistical finance. “This is an area where we use very high level mathematics while cross-checking results against the data,” he explains. “Any innovative academic proposal can directly translate into practice and feedback from practitioners is immediate.” The good relations within the microcosm of quantitative finance in Paris, both in research circles as in its connections with practitioners, encouraged Mathieu Rosenbaum to join l’X’s campus, which had another significant asset to offer: namely an horse riding center, which he appreciates as much for its ambience as for the horseback riding. Since October 2016, the Breton, an ardent supporter of the Rennes football team, holds École Polytechnique’s new teaching and research chair on statistics and models for financial regulation. He intends to use it to demonstrate the importance of the regulatory matters to all market players and to take the concrete implementation of his quantitative work even farther. His idea: to anticipate the behavior of agents in order to implement prior means of control for markets to function properly.

Find all the portraits of researchers of our summer series, here.