| Volatility is rough J Gatheral, T Jaisson, M Rosenbaum Quantitative finance 18 (6), 933-949, 2018 | 965 | 2018 |
| The characteristic function of rough Heston models O El Euch, M Rosenbaum Mathematical Finance 29 (1), 3-38, 2019 | 375 | 2019 |
| Sparse recovery under matrix uncertainty M Rosenbaum, AB Tsybakov | 209 | 2010 |
| Limit theorems for nearly unstable Hawkes processes T Jaisson, M Rosenbaum | 193 | 2015 |
| The microstructural foundations of leverage effect and rough volatility O El Euch, M Fukasawa, M Rosenbaum Finance and Stochastics 22, 241-280, 2018 | 191 | 2018 |
| Simulating and analyzing order book data: The queue-reactive model W Huang, CA Lehalle, M Rosenbaum Journal of the American Statistical Association 110 (509), 107-122, 2015 | 189 | 2015 |
| Perfect hedging in rough Heston models OE Euch, M Rosenbaum The Annals of Applied Probability 28 (6), 3813-3856, 2018 | 185 | 2018 |
| Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes T Jaisson, M Rosenbaum | 160 | 2016 |
| Quarticity and other functionals of volatility: Efficient estimation J Jacod, M Rosenbaum | 140 | 2013 |
| A new approach for the dynamics of ultra-high-frequency data: The model with uncertainty zones CY Robert, M Rosenbaum Journal of Financial Econometrics 9 (2), 344-366, 2011 | 126 | 2011 |
| Rough volatility: evidence from option prices G Livieri, S Mouti, A Pallavicini, M Rosenbaum IISE transactions 50 (9), 767-776, 2018 | 110 | 2018 |
| Large tick assets: implicit spread and optimal tick size K Dayri, M Rosenbaum Market Microstructure and Liquidity 1 (01), 1550003, 2015 | 98 | 2015 |
| Improved matrix uncertainty selector M Rosenbaum, AB Tsybakov From Probability to Statistics and Back: High-Dimensional Models and …, 2013 | 97 | 2013 |
| Linear and conic programming estimators in high dimensional errors-in-variables models A Belloni, M Rosenbaum, AB Tsybakov Journal of the Royal Statistical Society Series B: Statistical Methodology …, 2017 | 88 | 2017 |
| Volatility and covariation estimation when microstructure noise and trading times are endogenous CY Robert, M Rosenbaum Mathematical Finance: An International Journal of Mathematics, Statistics …, 2012 | 85 | 2012 |
| Roughening heston O El Euch, J Gatheral, M Rosenbaum Risk, 84-89, 2019 | 82 | 2019 |
| The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem J Gatheral, P Jusselin, M Rosenbaum arXiv preprint arXiv:2001.01789, 2020 | 80 | 2020 |
| Estimation of the lead-lag parameter from non-synchronous data M Hoffmann, M Rosenbaum, N Yoshida | 79 | 2013 |
| No‐arbitrage implies power‐law market impact and rough volatility P Jusselin, M Rosenbaum Mathematical Finance 30 (4), 1309-1336, 2020 | 73 | 2020 |
| Integrated volatility and round-off error M Rosenbaum | 67 | 2009 |
