Financial Econometrics Conference, Université Toulouse 1, (le 22/05/2015). Statistics and Modeling for Complex Data, ENPC, (le 22/06/2011). Colloque « Jeunes Probabilistes et Statisticiens 2006 » à Aussois (le 27/04/2006). 65- The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem. PGMO Days - Paris, Saclay - France (November 2017). Working paper, 2019. with Christian Y. Robert. Workshop Mathematical finance beyond classical models, Zurich, (le 16/09/2015). 41èmes Journées de Statistique de la SFDS, Bordeaux (le 22/05/2009). Séminaire Probabilités et Mathématiques Financières, Université d'Evry, (le 27/01/2011). coef.corrected_lasso: Extract Coefficients of a Corrected Lasso object coef.gds: Extract Coefficients of a Generalized Dantzig Selector Object coef.gmu_lasso: Extract Coefficients of a GMU Lasso object coef.gmus: Extract Coefficients of a GMUS object corrected_lasso: Corrected Lasso cv_corrected_lasso: Cross-validated Corrected lasso cv_gds: Cross-Validated Generalized Dantzig … Mathieu Rosenbaum & Peter Tankov, 2011. 39-Asymptotic lower bounds for optimal tracking: a linear programming approach Workshop The Mathematics of High Frequency Financial Markets, IPAM-UCLA, (le 16/04/2015). Estimating volatility from recent high frequency data, we revisit the question of the smoothness of the volatility process. SIAM Conference on Optimization - Vancouver - Canada (May 2017). Journée doctorants du séminaire Bachelier, Paris (le 22/06/2007). IASC-ARS conference, Singapore, (le 17/12/2015). World Statistics Congress, Hong Kong, (le 30/08/13). with Christian Y. Robert. QASS conference, Queen Mary University London (le 17/06/2009). Accepted Papers. Par ailleurs, Mathieu Rosenbaum est à l'origine du développement de la thématique "Sports Analytics" à l'X. 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. Rhein-Main kolloquium Stochastik, Mainz, (le 03/02/2017). 310 Col oquio Brasileiro de Matem atica (by invitation) - Rio de Janeiro - Brazil (July/August 2017). Financial Economics Seminar, BI Oslo, (le 04/12/2013). Workshop on Recent Advances in High-Frequency Statistics, Humbolt Universitat Berlin, (le 21/11/2014). Quant summit, London, (le 15/03/2017). Asymptotic statistics and computations, ISM and University of Tokyo, (le 12/03/2014). Analytics and Models for Regulation at CMAP – École Polytechnique. Mark Podolskij, Aarhus University, Denmark. with Bastien Baldacci, Iuliia Manziuk and Thibaut Mastrolia. Conference in Memory of Marc Yor, Université Paris 6, (le 04/06/2015). He obtained his Ph.D from University Paris-Est in 2007. Professeur Chargé de Cours résident à l'Ecole Polytechnique, Centre de Mathématiques Appliquées (CMAP)  (2008-2011). "Statistics for Stochastic Processes : Inference, Limit Theorems, Finance and Data Analysis 1-2-3-4", Olivier Guéant, Charles-Albert Lehalle, Joaquin Fernandez Tapia. ZHANG a 2 postes sur son profil. with Aditi Dandapani and Paul Jusselin. Séminaire INRIA, équipe TOSCA, Sophia Antipolis, (le 23/05/2012). Optimal auction duration: A price formation viewpoint. Lehalle). 13-Volatility and covariation estimation when microstructure noise and trading times are endogenous Responsable de la chaire Analytics and Models for Regulation. with Alexandre Belloni, Victor Chernozhukov, and Alexandre Tsybakov, Mathieu Rosenbaum. Conference Modeling and Managing Financial Risks, Paris, (le 12/01/2011). Stochastics, 89 (6-7), p. 943-966, 2017. Quantitative Finance, 11, 883-899, 2011. 36-How to predict the consequences of a tick value change? Séminaire de Probabilités XLVI, 359-375, 2014. Practitioners version in Global Trading, 50, 2014 Q2. 16-Testing the finiteness of the support of a distribution: a statistical look at Tsirelson's equation Bachelier World Congress, New York, (le 19/07/2016). 31-Some explicit formulas for the Brownian bridge, Brownian meander Journée "dépendance", ENGREF Paris (le 05/06/2009). Statistique Asymptotique des Processus Stochastiques VII , Université du Mans (le 17/03/2009). with Weibing Huang and Charles-Albert Lehalle. 43-The characteristic function of rough Heston models The Annals of Statistics, 41, 1462-1484, 2013. Working paper, 2019. 2-Estimation of the volatility persistence in a discretely observed diffusion model