The 2008 financial crisis and the fast development of high-frequency trading placed the issue of financial regulation at the core of financial markets concerns.
This new Chair, focusing on statistics and models for financial regulation, aims at bringing quantitative answers to help regulating the current financial system.
The objective of the Chair is to better understand the price formation process and the impact of market participants’ behavior in the fundamental features of prices. It also aims to give the regulator some relevant analysis tools in the context of high-frequency trading.
One of the purposes of the Chair is to demonstrate the relevance of the tick value, i.e. the smallest allowed price gap between two transactions, as a high-frequency trading regulation tool. This should eventually shape a notion of optimal tick-size.
Researchers will work with original data from the French Autorité des Marchés Financiers (Financial Markets Authority.)
David Faucon, CEO at Latour Trading LLC, has made this Chair possible through a 1 million Euro pledge to Friends of Ecole Polytechnique. Mathieu Rosenbaum is the Chair Holder.
Graduated from ENSAE (École Nationale des Statistiques et de l’Administration Économique), from the Masters’ program “Random Modelling” of University Paris VII and Sciences Po Paris, Mathieu Rosenbaum obtained is Ph.D from University Paris-Est in 2007. After being Assistant Professor at École Polytechnique, he became Professor at University Pierre et Marie Curie (UPMC) in 2011. He is now full-time professor at l’X and is especially in charge, with Nicole El Karoui, Gilles Pagès and Emmanuel Gobet, of the Masters’ program “Probability and Finance”, jointly run by École Polytechnique and UPMC.
His research mainly focuses on statistical finance problems, such as market microstructure modeling or statistical procedures for high frequency data and on regulatory issues, especially in the context of high frequency trading.
He received the Europlace Award for Best Young Researcher in finance in 2014 and a European Research Council Starting Grant in 2015.