Grégoire Szymanski

@misc{hafsi2026calibration,
  author        = {Hafsi, Yadh and Lillo, Fabrizio and Szymanski, Gr{\'e}goire},
  title         = {Calibration of Passive Market Impact with a Queue-Sensitive Propagator Model},
  year          = {2026},
  eprint        = {2610.38442},
  archivePrefix = {arXiv},
  primaryClass  = {q-fin.TR},
  url           = {https://arxiv.org/abs/2610.38442}
}

@misc{szymanski2026aldous,
  author        = {Szymanski, Gr{\'e}goire and Wunderlich, Fabrice},
  title         = {An {A}ldous-type tightness characterisation for the {$M_1$} topology: replacing global modulus control by local control at stopping times},
  year          = {2026},
  eprint        = {2610.27900},
  archivePrefix = {arXiv},
  primaryClass  = {math.PR},
  url           = {https://arxiv.org/abs/2610.27900}
}

@misc{chong2026intraday,
  author       = {Chong, Carsten H. and Hoffmann, Marc and Rosenbaum, Mathieu and Szymanski, Gr{\'e}goire},
  title        = {Intraday Volatility Dynamics},
  year         = {2026},
  howpublished = {SSRN preprint},
  doi          = {10.2139/ssrn.7344018},
  url          = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7344018}
}

@misc{leclere2026exact,
  author        = {Lecl{\`e}re, Joseph and Ouazzani Chahdi, Youssef and Rosenbaum, Mathieu and Szymanski, Gr{\'e}goire},
  title         = {Exact conditional simulation of Point processes: Application to pathwise market impact estimation},
  year          = {2026},
  eprint        = {2607.03239},
  archivePrefix = {arXiv},
  primaryClass  = {q-fin.TR},
  url           = {https://arxiv.org/abs/2607.03239}
}

@misc{muhlekarbe2026unified,
  author        = {Muhle-Karbe, Johannes and Ouazzani Chahdi, Youssef and Rosenbaum, Mathieu and Szymanski, Gr{\'e}goire},
  title         = {A unified theory of order flow, market impact, and volatility},
  year          = {2026},
  eprint        = {2601.23172},
  archivePrefix = {arXiv},
  primaryClass  = {q-fin.ST},
  url           = {https://arxiv.org/abs/2601.23172}
}

@article{bourgey2026quadratic,
  author  = {Bourgey, Florian and Noble, Patrick and Petursson, Ingi and Rosenbaum, Mathieu and Szymanski, Gr{\'e}goire},
  title   = {The {Q}uadratic {R}ough {H}eston+ Model for Short-Dated Options},
  journal = {Risk},
  year    = {2026},
  url     = {https://www.risk.net/cutting-edge/7964329/the-quadratic-rough-heston-model-for-short-dated-options}
}

@misc{decarvalho2026trading,
  author        = {De Carvalho, Nathan and Ouazzani Chahdi, Youssef and Szymanski, Gr{\'e}goire},
  title         = {Trading with market resistance and concave price impact},
  year          = {2026},
  eprint        = {2601.03215},
  archivePrefix = {arXiv},
  primaryClass  = {q-fin.TR},
  url           = {https://arxiv.org/abs/2601.03215}
}

@article{szymanski2026mean,
  author  = {Szymanski, Gr{\'e}goire and Xu, Wei},
  title   = {Mean-field limits for nearly unstable {H}awkes processes},
  journal = {Electronic Journal of Probability},
  volume  = {31},
  pages   = {Paper No. 107, 31 pp.},
  year    = {2026},
  doi     = {10.1214/26-EJP1551}
}

@article{ouazzanichahdi2026passive,
  author  = {Ouazzani Chahdi, Youssef and Rosenbaum, Mathieu and Szymanski, Gr{\'e}goire},
  title   = {Passive Market Impact: A Point Process Approach},
  journal = {Finance and Stochastics},
  year    = {2026},
  doi     = {10.1007/s00780-026-00606-7}
}

@misc{maillet2024estimation,
  author        = {Maillet, Rapha{\"e}l and Szymanski, Gr{\'e}goire},
  title         = {Estimation of the invariant measure of a multidimensional diffusion from noisy observations},
  year          = {2024},
  eprint        = {2404.12181},
  archivePrefix = {arXiv},
  primaryClass  = {math.ST},
  url           = {https://arxiv.org/abs/2404.12181}
}

@misc{szymanski2023asymptotic,
  author        = {Szymanski, Gr{\'e}goire and Takabatake, Tetsuya},
  title         = {Asymptotic Efficiency for Fractional {B}rownian Motion with general noise},
  year          = {2023},
  eprint        = {2311.18669},
  archivePrefix = {arXiv},
  primaryClass  = {math.ST},
  url           = {https://arxiv.org/abs/2311.18669}
}

@article{durin2026two,
  author  = {Durin, Bruno and Rosenbaum, Mathieu and Szymanski, Gr{\'e}goire},
  title   = {The two square root laws of market impact and the role of sophisticated market participants},
  journal = {The Annals of Applied Probability},
  volume  = {36},
  number  = {5},
  pages   = {3863--3903},
  year    = {2026},
  doi     = {10.1214/26-AAP2311}
}

@article{chong2024clt,
  author  = {Chong, Carsten H. and Hoffmann, Marc and Liu, Yanghui and Rosenbaum, Mathieu and Szymanski, Gr{\'e}goire},
  title   = {Statistical inference for rough volatility: Central limit theorems},
  journal = {The Annals of Applied Probability},
  volume  = {34},
  number  = {3},
  pages   = {2600--2649},
  year    = {2024},
  doi     = {10.1214/23-AAP2002}
}

@article{chong2024minimax,
  author  = {Chong, Carsten H. and Hoffmann, Marc and Liu, Yanghui and Rosenbaum, Mathieu and Szymanski, Gr{\'e}goire},
  title   = {Statistical inference for rough volatility: Minimax theory},
  journal = {The Annals of Statistics},
  volume  = {52},
  number  = {4},
  pages   = {1277--1306},
  year    = {2024},
  doi     = {10.1214/23-AOS2343}
}

@article{szymanski2024optimal,
  author  = {Szymanski, Gr{\'e}goire},
  title   = {Optimal estimation of the rough {H}urst parameter in additive noise},
  journal = {Stochastic Processes and their Applications},
  volume  = {170},
  pages   = {104302},
  year    = {2024},
  doi     = {10.1016/j.spa.2024.104302}
}