12 citations · 24 across the 10 of their papers we have counts for
11 papers
Exact conditional simulation of Point processes: Application to pathwise market impact estimation
Joseph Leclère, Youssef Ouazzani Chahdi, Mathieu Rosenbaum +1
Market impact is defined as the difference between the observed price trajectory under a given execution strategy and the counterfactual trajectory that would have prevailed withou…
Trading with market resistance and concave price impact
Nathan De Carvalho, Youssef Ouazzani Chahdi, Grégoire Szymanski
We consider an optimal trading problem under a market impact model with endogenous market resistance generated by a sophisticated trader who (partially) detects metaorders and trad…
A unified theory of order flow, market impact, and volatility
Johannes Muhle-Karbe, Youssef Ouazzani Chahdi, Mathieu Rosenbaum +1
We propose a microstructural model for the order flow in financial markets that distinguishes between {\it core orders} and {\it reaction flow}, both modeled as Hawkes processes. T…
Mean-Field Limits for Nearly Unstable Hawkes Processes
Grégoire Szymanski, Wei Xu
In this paper, we establish general scaling limits for nearly unstable Hawkes processes in a mean-field regime by extending the method introduced by Jaisson and Rosenbaum. Under a…
Passive Market Impact: A Point Process Approach
Youssef Ouazzani Chahdi, Mathieu Rosenbaum, Grégoire Szymanski
While the market impact of aggressive orders has been extensively studied, the impact of passive orders, those executed through limit orders, remains less understood. The goal of t…
Estimation of the invariant measure of a multidimensional diffusion from noisy observations
Raphaël Maillet, Grégoire Szymanski
We introduce a new approach for estimating the invariant density of a multidimensional diffusion when dealing with high-frequency observations blurred by independent noise. We cons…
Asymptotic Efficiency for Fractional Brownian Motion with general noise
Grégoire Szymanski, Tetsuya Takabatake
We investigate the Local Asymptotic Property for fractional Brownian models based on discrete observations contaminated by a Gaussian moving average process. We consider both situa…
The two square root laws of market impact and the role of sophisticated market participants
Bruno Durin, Mathieu Rosenbaum, Grégoire Szymanski
The goal of this paper is to disentangle the roles of volume and of participation rate in the price response of the market to a sequence of transactions. To do so, we are inspired…
Statistical inference for rough volatility: Central limit theorems
Carsten Chong, Marc Hoffmann, Yanghui Liu +2
In recent years, there has been a substantive interest in rough volatility models. In this class of models, the local behavior of stochastic volatility is much more irregular than…
Statistical inference for rough volatility: Minimax Theory
Carsten Chong, Marc Hoffmann, Yanghui Liu +2
Rough volatility models have gained considerable interest in the quantitative finance community in recent years. In this paradigm, the volatility of the asset price is driven by a…
Optimal estimation of the rough Hurst parameter in additive noise
Grégoire Szymanski
We estimate the Hurst parameter of a fractional Brownian motion from discrete noisy data, observed along a high frequency sampling scheme. When the intensity of…