Publications

  1. A unified theory of order flow, market impact, and volatility. Submitted for publication. 2026. Johannes Muhle-Karbe, Youssef Ouazzani Chahdi, Mathieu Rosenbaum and Grégoire Szymanski. [Arxiv]
  2. The Quadratic Rough Heston+ Model for Short-Dated Options. Submitted for publication. 2026. Florian Bourgey, Mathieu Rosenbaum, Patrick Noble, Grégoire Szymanski and Ingi Petursson. [SSRN]
  3. Trading with market resistance and concave price impact. Submitted for publication. 2026. Y. O. Chahdi, N. De Carvalho and G. Szymanski [Arxiv]
  4. Mean-Field Limits for Nearly Unstable Hawkes Processes. Submitted for publication. 2025. G. Szymanski and W. Xu. [Arxiv]
  5. Passive Market Impact: A Point Process Approach. To appear in Finance and Stochastics. 2026. Y. Ouazzani Chahdi, M. Rosenbaum and G. Szymanski. [Arxiv]
  6. Estimation of the invariant measure of a multidimensional diffusion from noisy observations. Submitted for publication. 2024. R. Maillet and G. Szymanski. [Arxiv]
  7. Asymptotic Efficiency for Fractional Brownian Motion with general noise. Submitted for publication. 2023. G. Szymanski and T. Takabatake. [Arxiv]
  8. The two square root laws of market impact and the role of sophisticated market participants. To appear in The Annals of Applied Probability. 2023. B. Durin, M. Rosenbaum and G. Szymanski. [Arxiv]
  9. 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]
  10. 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]
  11. 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Unpublished supervised written work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.