About me

I am currently a Postdoctoral Researcher at the University of Luxembourg, in the Department of Mathematics, where I work as part of Mark Podolskij's team. My research spans a broad spectrum, including Mathematical Finance, Financial Econometrics, Theoretical Statistics, and Machine Learning.

Before joining the University of Luxembourg in September 2024, I completed my PhD at the École Polytechnique under the supervision of Marc Hoffmann and Mathieu Rosenbaum. I successfully defended my dissertation in December 2024.

Main Research Interests

  • Statistics of Random Processes

    Exploration of discretised diffusions, point processes, multifractal processes, interacting particles in a mean-field limit, and Malliavin calculus.

  • Nonparametric Statistics

    Focus on adaptive estimation and confidence bands, ergodic theory, density estimation, minimax risk, and convergence rates.

  • Financial Statistics

    Volatility estimation, rough volatility models, and their applications in modern financial systems.

  • Finance Theory

    Market impact, Hawkes processes, and limit theorems for high-frequency data in quantitative finance.

  • Machine Learning in Finance

    Simulation of limit order books using machine learning techniques.

Contact Information

Address
University of Luxembourg • Maison du Nombre • 6, avenue de la Fonte • L-4364 ESCH
Phone
+33 6 52 43 44 32
Email
gregoire.szymanski@uni.lu