I work at the intersection of market microstructure, optimal trading and execution, market impact, and volatility dynamics. Feel free to reach out to discuss any of these topics (and beyond) at youssef.ouazzanichahdi.pro@gmail.com.

Bio

I am a PhD student at MICS, CentraleSupélec, under the joint supervision of Damien Challet and Mathieu Rosenbaum.

From 2022 to 2023, I completed the Master 2 in Probability and Finance (ex-DEA El Karoui) at École Polytechnique & Sorbonne Université, Paris.

From 2019 to 2022, I studied at Grenoble INP – ENSIMAG, where I obtained a Master of Engineering in Computer Science and Financial Mathematics, alongside a Master 2 in Quantitative Finance from IAE Grenoble.

I have held positions at GTS (Global Trading Systems) as a Quantitative Researcher, at Mazars as a Quantitative Analyst, and at CDG Capital in Risk Management.

Research interests

  • microstructurePrice formation & discovery, limit order books, agent-based models.
  • market impactPassive & aggressive impact.
  • optimal executionStochastic control, optimisation.
  • volatilityVolatility estimation and rough volatility.
  • econometricsHigh-frequency data, statistical inference.

Recent news

  • June 2026 Recipient of the Susquehanna-BFS Junior Scholar Award for Most Outstanding Paper at the Bachelier World Congress 2026.
  • November 2025 Recipient of the Peter Carr Memorial Award at QuantMinds 2025.

Selected publications

  1. Exact conditional simulation of point processes: application to pathwise market impact estimation. With Joseph Leclère, Mathieu Rosenbaum, and Grégoire Szymanski. Submitted, 2026.
  2. A unified theory of order flow, market impact, and volatility. With Johannes Muhle-Karbe, Mathieu Rosenbaum, and Grégoire Szymanski. Submitted, 2026.

See all publications →