Publications

  1. Mean-Field Limits for Nearly Unstable Hawkes Processes. Submitted for publication. 2024. G. Szymanski and W. Xu. [Arxiv]
  2. A theory of passive market impact. Submitted for publication. 2024. Y. Ouazzani Chahdi, M. Rosenbaum, and G. Szymanski. [Arxiv]
  3. Estimation of the invariant measure of a multidimensional diffusion from noisy observations. Submitted for publication. 2024. R. Maillet and G. Szymanski. [Arxiv]
  4. Asymptotic Efficiency for Fractional Brownian Motion with general noise. Submitted for publication. 2023. G. Szymanski and T. Takabatake. [Arxiv]
  5. The two square root laws of market impact and the role of sophisticated market participants. Submitted for publication. 2023. B. Durin, M. Rosenbaum, and G. Szymanski. [Arxiv]
  6. Statistical inference for rough volatility: Central limit theorems. The Annals of Applied Probability. 2023. C. Chong, M. Hoffmann, Y. Liu, M. Rosenbaum, and G. Szymanski. [Arxiv]
  7. Statistical inference for rough volatility: Minimax theory. The Annals of Statistics. 52, 1277–1306, 2023. C. Chong, M. Hoffmann, Y. Liu, M. Rosenbaum, and G. Szymanski. [Arxiv]
  8. Optimal estimation of the rough Hurst parameter in additive noise. Stochastic Processes and their Applications. 2024. G. Szymanski. [Arxiv]

Unpublished supervised written work

  1. Statistical Modeling for Financial Applications: Rough Volatility, Market Impact, and Hawkes Processes. PhD thesis supervised by M. Hoffmann and M. Rosenbaum. 2024. [Hal]
  2. Fondements microstructurels de la volatilité ENS Diploma thesis. 2021.
  3. Percolation critique sur le demi-espace Bachelor's thesis, supervised by R. Cerf, in collaboration with R. Panis. 2021.