12 citations · 24 across the 10 of their papers we have counts for
Showing 2023Show all
2 papers · 1 filter
math.ST2023
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…
q-fin.MF2023
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…