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Grégoire Szymanski

University of Luxembourg

  • University of Luxembourg

SCHOLARLY PAPERS

3

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1,047

TOTAL CITATIONS

1

Scholarly Papers (3)

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1.

The Quadratic Rough Heston+ Model for Short-Dated Options

Number of pages: 14 Posted: 26 Jan 2026 Last Revised: 13 Jul 2026
Florian Bourgey, Patrick Noble, Ingi Petursson, Mathieu Rosenbaum and Grégoire Szymanski
Bloomberg LP, affiliation not provided to SSRN, affiliation not provided to SSRN, Université PSL and University of Luxembourg
Downloads 475 (194,151)

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2.

A unified theory of order flow, market impact, and volatility

Number of pages: 37 Posted: 18 Feb 2026 Last Revised: 02 Jul 2026
Johannes Muhle-Karbe, Youssef Ouazzani Chahdi, Mathieu Rosenbaum and Grégoire Szymanski
Imperial College London - Department of Mathematics, University of Paris-Saclay - CentraleSupélec, Université PSL and University of Luxembourg
Downloads 355 (331,797)
Citation 1

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Trading Volume, Order Flow, Core Order Flow, Rough Volatility, Market Impact, Long Memory, Market Microstructure, Hawkes Processes, Mixed Fractional Brownian Motion, Limit Theorems, Criticality

3.

Trading with market resistance and concave price impact

Number of pages: 44 Posted: 12 Jan 2026 Last Revised: 02 Jul 2026
Nathan De Carvalho, Youssef Ouazzani Chahdi and Grégoire Szymanski
Sorbonne University - Laboratoire de Probabilités, Statistique et Modélisation (LPSM), University of Paris-Saclay - CentraleSupélec and University of Luxembourg
Downloads 217 (369,861)

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Optimal Trading, Market Resistance, Concave Market Impact, Propagator Model, Power-Law Decay, Square Root-Law, Fredholm Equations