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Paper / 2026SMQ / 8870935081979
A unified theory of order flow, market impact, and volatility
Grégoire Szymanski / Johannes Muhle-Karbe / Mathieu Rosenbaum / Youssef Ouazzani Chahdi
market microstructure / rough volatilityResource overview

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

Paper2026

by Grégoire Szymanski, Johannes Muhle-Karbe, Mathieu Rosenbaum, Youssef Ouazzani Chahdi

Tags
market microstructurerough volatilitystochastic processes

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Suggested foundations for volatility models and surfaces and stochastic processes and pricing. Specialist prerequisites vary by paper.

Before you read

  1. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

  2. ARCH and GARCH

    Separate conditional volatility from observed returns.

  3. Conditional Expectation

    Understand what it means to condition on current information.

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  1. Stochastic Volatility and the Heston Model

    Study a correlated stochastic-variance model.

  2. Reading the Implied Vol Surface — Moneyness, Term Structure, and Quoting Conventions

    Interpret prices across strikes and expiries.

  3. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

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