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Member of CNRS-GREGHEC Research Group
Ioanid Rosu received two Ph.D.'s, one in mathematics in 1999 and one in financial economics in 2004, both from MIT, where he was awarded several fellowships, and the Charlie Housman Award for Excellence in Teaching. Between 2004 and 2010 he served as Assistant Professor of Finance at the University of Chicago, Booth School of Business, where he taught the Investments course in the MBA program and in the Executive MBA program, as well as a Ph.D. course in Asset Pricing and Market Microstructure. Since 2010, he is Associate Professor of Finance at HEC Paris, and currently teaches the Financial Markets course in the MBA program, and the Securities Markets in the Master's Program. He was voted the MBA Best Teacher of the Fundamental Phase in 2011, 2012, 2013, 2014, and 2015.
His research focuses on the liquidity of financial markets and its effect on asset prices and investor decisions. Recently, he has written several papers on High Frequency Trading and its effect on market quality. He is also interested in mergers and acquisitions, option pricing, and earnings management. His work has appeared in the Journal of Finance, Review of Financial Studies, and elsewhere. He is an Associate Editor of the Journal of Financial Markets.
"News Trading and Speed", The Journal of Finance, February 2016, vol. 71, n° 1, pp. 335-382 (in coll. with T. FOUCAULT, J. HOMBERT).
"A Dynamic Model of the Limit Order Book", Review of Financial Studies, November 2009, vol. 22, n° 11, pp. 4601-4641.
"On the Derivation of the BlackScholes Formula", Séminaire de Probabilités, 2004, vol. 37, pp. 399-414 (in coll. with D. Stroock).
"Equivariant K-Theory and Equivariant Cohomology", Mathematische Zeitschrift, 2003, vol. 243, pp. 423-448 (in coll. with A. Knutson).
"Equivariant Elliptic Cohomology and Rigidity", American Journal of Mathematics, August 2001, vol. 123, n° 4, pp. 647-677.
Chapters in Edited Books
"Order Choice and Information in Limit Order Markets", in Market Microstructure: Confronting Many Viewpoints, F. Abergel, J. P. Bouchaud, T. Foucault, C. Lehalle, M. Rosenbaum (Eds), John Wiley & Sons, 2012.
"Liquidity and Information in Order Driven Markets", Mimeo.
"Multi-Stage Game Theory in Continous Time", Mimeo.
"Fast and Slow Informed Trading", Cahier de Recherche du Groupe HEC, 2015.
"Cash Mergers and the Volatility Smile", Mimeo, 2014 (in coll. with A. Bester, V. Martinez).
"Fast and Slow Informed Trading", Mimeo, 2014.
"Weather and Time Series Determinants of Liquidity in a Limit Order Market", Mimeo, 2013 (in coll. with J. Linnainmaa).
Employment Date: 2010
Main courses taught at HEC
2004 Ph.D. in Financial Economics, Massachusetts Institute of Technology, USA.
1999 Ph.D. in Mathematics, Massachusetts Institute of Technology, USA.
1994 B.A. and Diploma in Mathematics, University of Bucharest , Romania.
Academic responsibilities at HEC
2010- Associate Professor.
2010- Member of GREGHEC (CNRS).
External academic responsibilities
2004-2010 Assistant Professor, University of Chicago.
Reviewer, Journal of Finance, Review of Financial Studies, Journal of Political Economy, Econometrica, Review of Economic Studies, Journal of Financial and Quantitative Analysis, Review of Finance, Management Science, Journal of Economic Theory, RAND Journal, Journal of the European Economic Association, Journal of Financial Markets, Journal of Financial Intermediation, Journal of Financial Econometrics, Journal of Empirical Finance, Mathematical Finance, Quantitative Finance, Journal of Accounting Research, Operations Research..
mars 2013- Associate Editor, Journal of Financial Markets.
Member, Program Committee, European Finance Association (EFA) meeting.
Member, Program Committee, Western Finance Association (WFA) meeting.
Awards & Honors
2016 MBA Best Teacher of the Fundamental Phase.
2015 MBA Best Teacher of the Fundamental Phase.
2015 Dauphine Foundation Award - Amundi-Dauphine Chair in Asset Management for the manuscript "News trading and Speed".
2014 MBA Best Teacher of the Fundamental Phase.
2013 MBA Best Teacher of the Fundamental Phase.
2013 Best Paper Award for "News Trading and Speed", Colloquium of Financial Markets Conference in Cologne.
2012 MBA Best Teacher of the Fundamental Phase.
2011 MBA Best Teacher of the Fundamental Phase.
2011 Best Economics/Finance Research Paper Award for "Liquidity and Information in Order Driven Markets", CFA Romania.
1997 Housman Award for Excellence in Teaching, Dept. of Mathematics.