Suivre
Grégoire Szymanski
Grégoire Szymanski
Autres nomsGrégoire Szymansky
University of Luxembourg, DMATH
Adresse e-mail validée de uni.lu - Page d'accueil
Titre
Citée par
Citée par
Année
Statistical inference for rough volatility: Minimax theory
CH Chong, M Hoffmann, Y Liu, M Rosenbaum, G Szymansky
The Annals of Statistics 52 (4), 1277-1306, 2024
202024
Statistical inference for rough volatility: Central limit theorems
CH Chong, M Hoffmann, Y Liu, M Rosenbaum, G Szymanski
The Annals of Applied Probability 34 (3), 2600-2649, 2024
182024
Optimal estimation of the rough Hurst parameter in additive noise
G Szymanski
Stochastic Processes and their Applications 170, 104302, 2024
112024
The two square root laws of market impact and the role of sophisticated market participants
B Durin, M Rosenbaum, G Szymanski
arXiv preprint arXiv:2311.18283, 2023
52023
Estimation of the invariant measure of a multidimensional diffusion from noisy observations
R Maillet, G Szymanski
arXiv preprint arXiv:2404.12181, 2024
22024
Asymptotic Efficiency for Fractional Brownian Motion with general noise
G Szymanski, T Takabatake
arXiv preprint arXiv:2311.18669, 2023
22023
A theory of passive market impact
YO Chahdi, M Rosenbaum, G Szymanski
arXiv preprint arXiv:2412.07461, 2024
12024
Mean-Field Limits for Nearly Unstable Hawkes Processes
G Szymanski, W Xu
arXiv preprint arXiv:2501.11648, 2025
2025
A theory of passive market impact
Y Ouazzani Chahdi, M Rosenbaum, G Szymanski
arXiv e-prints, arXiv: 2412.07461, 2024
2024
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