Mathieu Rosenbaum, winner of the Louis Bachelier Prize 2020

The London Mathematical Society, the French Society for Applied and Industrial Mathematics (SMAI) and the Natixis Foundation have chosen to award the Louis Bachelier Prize 2020 to Mathieu Rosenbaum, professor at the Centre for Applied Mathematics at the École polytechnique (CMAP*) and holder of the "Analytics and Models for Regulation" chair.

The Louis Bachelier Prize is a European prize for applied mathematics, rewarding major contributions in financial modeling, scientific computation methods applied to finance, and/or financial risk modeling and control.

Portrait of Mathieu Rosenbaum

Mathieu Rosenbaum obtained his PhD at the University of Paris-Est in 2007. After having been Assistant Professor at the École Polytechnique, he became Professor at the Pierre and Marie Curie University (Paris 6, Sorbonne University) in 2011 before returning to X in 2016 as Professor in charge of the "Analytics and Models for Regulation" chair.

At École polytechnique, Mathieu Rosenbaum is notably one of the heads of the Master 2 "Probability and Finance". His research focuses mainly on statistical finance problems such as the study of high-frequency markets and algorithmic trading or volatility modelling. In particular, he has developed a large number of quantitative tools for optimizing market microstructure and has introduced "rough volatility" models.

https://www.youtube.com/watch?v=XQQHePwyUTI

On these topics, he collaborates with many financial institutions and is one of the organizers of the "Market Microstructure Confronting Many Viewpoints" conference held every two years in Paris. In 2014, he was awarded the Europlace prize for the best young researcher in finance and in 2015 the ERC grant in mathematics.

Furthermore, Mathieu Rosenbaum is at the origin at l’X of the development of the "Sports Analytics" theme. For example, he initiated partnerships with the company Opta Sports, with the French Professional Football League (LPF) and with Paris-Saint Germain football team, with which he co-organized the hackathon "Sports Analytics Challenge" in 2019.

*CMAP, a Joint Research Unit CNRS/École Polytechnique