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Ioanid ROSU

Associate Professor

Finance

 Profile picture

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.

Scientific articles

Fast and Slow Informed Trading

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

News Trading and Speed

Journal of Finance (The), 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,

Liquidity and Information in Limit Order Markets

Journal of Financial and Quantitative Analysis, Forthcoming,

Chapters edited in 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

Evolution of Shares in a Proof-of-Stake Cryptocurrency

Cahier de Recherche du Groupe HEC , 2019

Cash Mergers and the Volatility Smile

Cahier de Recherche du Groupe HEC , 2018

Dynamic Adverse Selection and Liquidity

Cahier de Recherche du Groupe HEC , 2018

Liquidity and Information in Order Driven Markets

Cahier de Recherche du Groupe HEC , 2018

Quoting Activity and the Cost of Capital

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

Fast and Slow Informed Trading

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

News Trading and Speed

Journal of Finance (The), 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 edited in 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

Evolution of Shares in a Proof-of-Stake Cryptocurrency

Cahier de Recherche du Groupe HEC , 2019

Cash Mergers and the Volatility Smile

Cahier de Recherche du Groupe HEC , 2018

Dynamic Adverse Selection and Liquidity

Cahier de Recherche du Groupe HEC , 2018

Liquidity and Information in Order Driven Markets

Cahier de Recherche du Groupe HEC , 2018

Education

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

Academic appointments

Academic responsabilities at HEC

  • 2010- Member of GREGHEC (CNRS) HEC Paris
  • 2010- Associate Professor HEC Paris

External Academic Responsabilities

  • 2004-2010 Assistant Professor University of Chicago

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