12 citations · 24 across the 10 of their papers we have counts for
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q-fin.MF2024
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…
math.ST2024
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…