Ioanid ROSU

Associate Professor

Finance

rosu@hec.fr https://people.hec.edu/rosu/

Biography

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, 2015, and 2016.

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.

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Scientific articles

Non-Standard Errors

Journal of Finance, June 2024, vol. 79, n° 3, pp 2339-2390, (in coll. with A. MENKVELD, A. DREBER, F. HOLZMEISTER, J. HUBER, M. JOHANNESSON, M. KIRCHLER, M. RAZEN, U. WEITZEL, J. E. COLLIARD, T. DUEVSKI, T. FOUCAULT, H. LANGLOIS-BERTRAND, C. PERIGNON, ET AL.)

Asset Pricing with Systematic Skewness: Two Decades Later

Critical Finance Review, August 2023, vol. 12, n° 1-4, pp 309-354, (in coll. with D. ANGHEL, P. CARAIANI, A. ROSU)

Option Prices and the Probability of Success of Cash Mergers

Journal of Financial Econometrics, Winter 2023, vol. 21, n° 1, pp 145-186, (in coll. with C. A. BESTER, V. H. MARTINEZ)

Evolution of Shares in a Proof-of-Stake Cryptocurrency

Management Science, February 2021, vol. 67, n° 2, pp 661-672, (in coll. with F. SALEH)

Quoting Activity and the Cost of Capital

Journal of Financial and Quantitative Analysis, December 2021, vol. 58, n° 6, pp 2764 - 2799, (in coll. with E. SOJLI, W. W. THAM)

Liquidity and Information in Limit Order Markets

Journal of Financial and Quantitative Analysis, September 2020, vol. 55, n° 6, pp 1792-1839,

Fast and Slow Informed Trading

Journal of Financial Markets, July 2019, vol. 43, pp 1-30,

News Trading and Speed

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)

Chapters in edited books

Order Choice and Information in Limit Order Markets

Market Microstructure: Confronting Many Viewpoints, F. Abergel, J. P. Bouchaud, T. Foucault, C. Lehalle, M. Rosenbaum (Eds), John Wiley & Sons US

Working papers

Non-Standard Errors

SSRN Electronic Journal , 2021

Dynamic Adverse Selection and Liquidity

Cahier de Recherche du Groupe HEC , 2018

Weather and Time Series Determinants of Liquidity in a Limit Order Market

Mimeo , 2013

Multi-Stage Game Theory in Continous Time

Cahier de Recherche du Groupe HEC , 2006

Scientific articles

Non-Standard Errors

Asset Pricing with Systematic Skewness: Two Decades Later

Critical Finance Review, August 2023, vol. 12, n° 1-4, pp 309-354, (in coll. with D. ANGHEL, P. CARAIANI, A. ROSU)

Option Prices and the Probability of Success of Cash Mergers

Journal of Financial Econometrics, Winter 2023, vol. 21, n° 1, pp 145-186, (in coll. with C. A. BESTER, V. H. MARTINEZ)

Evolution of Shares in a Proof-of-Stake Cryptocurrency

Management Science, February 2021, vol. 67, n° 2, pp 661-672, (in coll. with F. SALEH)

Chapters in edited books

Order Choice and Information in Limit Order Markets

Market Microstructure: Confronting Many Viewpoints, F. Abergel, J. P. Bouchaud, T. Foucault, C. Lehalle, M. Rosenbaum (Eds), John Wiley & Sons US

Working papers

Non-Standard Errors

SSRN Electronic Journal , 2021

Dynamic Adverse Selection and Liquidity

Cahier de Recherche du Groupe HEC , 2018

Weather and Time Series Determinants of Liquidity in a Limit Order Market

Mimeo , 2013

Multi-Stage Game Theory in Continous Time

Cahier de Recherche du Groupe HEC , 2006

Education

2004
Ph.D. in Financial Economics, MIT, Sloan School of Management - USA
1999
Ph.D. in Mathematics, MIT, Sloan School of Management - USA
1994
B.A. and Diploma in Mathematics, University of Bucharest - Romania

Academic appointments

Academic Responsibilities at HEC

2020-2021 Department Head, Finance HEC Paris

Scientific Activities

Editorial activities

March 2013- Associate Editor, Journal of Financial Markets

Conference organisation

Member, Program Committee, Western Finance Association (WFA) meeting

Member, Program Committee, European Finance Association (EFA) meeting

Awards & honors

2018 Best Paper Award for "Quoting Activity and the Cost of Capital", Behavioural Finance and Capital Markets Conference in Melbourne
2016 MBA Best Teacher of the Fundamental Phase
2015 Dauphine Foundation Award - Amundi-Dauphine Chair in Asset Management for the manuscript "News trading and Speed"
2013 Best Paper Award for "News Trading and Speed", Colloquium of Financial Markets Conference in Cologne
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