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How to build a cross-impact model from first principles: Theoretical requirements and empirical results. (2020). Benzaquen, Michael ; Mastromatteo, Iacopo ; Tomas, Mehdi.
In: Working Papers.
RePEc:hal:wpaper:hal-02567489.

Full description at Econpapers || Download paper

Cited: 4

Citations received by this document

Cites: 19

References cited by this document

Cocites: 21

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Cross impact in derivative markets. (2022). Benzaquen, Michael ; Mastromatteo, Iacopo ; Tomas, Mehdi.
    In: Post-Print.
    RePEc:hal:journl:hal-03378903.

    Full description at Econpapers || Download paper

  2. Cross impact in derivative markets. (2021). Mastromatteo, Iacopo ; Tomas, Mehdi ; Benzaquen, Michael.
    In: Working Papers.
    RePEc:hal:wpaper:hal-03378903.

    Full description at Econpapers || Download paper

  3. A characterisation of cross-impact kernels. (2021). Tomas, Mehdi ; Rosenbaum, Mathieu.
    In: Papers.
    RePEc:arx:papers:2107.08684.

    Full description at Econpapers || Download paper

  4. Cross impact in derivative markets. (2021). Benzaquen, Michael ; Mastromatteo, Iacopo ; Tomas, Mehdi.
    In: Papers.
    RePEc:arx:papers:2102.02834.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. [1] Aurélien Alfonsi, Florian Klöck, and Alexander Schied. Multivariate transient price impact and matrix-valued positive definite functions. Mathematics of operations research, 41(3):914–934, 2016.

  2. [10] Olivier Guéant. Optimal market making. Applied Mathematical Finance, 24(2):112–154, 2017.

  3. [11] Joel Hasbrouck and Duane J Seppi. Common factors in prices, order flows, and liquidity. Journal of financial Economics, 59(3):383–411, 2001.

  4. [12] Thibault Jaisson. Market impact as anticipation of the order flow imbalance. Quantitative Finance, 15(7):1123–1135, 2015.

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  6. [14] Iacopo Mastromatteo, Michael Benzaquen, Zoltan Eisler, and Jean-Philippe Bouchaud. Trading lightly: Cross-impact and optimal portfolio execution. 2017.

  7. [15] Iacopo Mastromatteo, Bence Toth, and Jean-Philippe Bouchaud. Agent-based models for latent liquidity and concave price impact. Physical Review E, 89(4):042805, 2014.

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  9. [17] Michael Schneider, Fabrizio Lillo, Michael Benzaquen, Jean-Philippe Bouchaud, Katia Colaneri, Thomas Guhr, Florian Klöck, Enrico Melchioni, Loriana Pelizzon, and Damian Taranto. Cross-impact and no-dynamic-arbitrage. Technical report, 2017.

  10. [18] Mehdi Tomas and Mathieu Rosenbaum. From microscopic price dynamics to multidimensional rough volatility models. arXiv preprint arXiv:1910.13338, 2019.

  11. [19] Nicolo Torre. BARRA market Impact model handbook. BARRA Inc., Berkeley, 1997.
    Paper not yet in RePEc: Add citation now
  12. [2] Robert Almgren, Chee Thum, Emmanuel Hauptmann, and Hong Li. Direct estimation of equity market impact. Risk, 18(7):58–62, 2005.
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  13. [20] Shanshan Wang, Sebastian Neusüß, and Thomas Guhr. Grasping asymmetric information in market impacts. arXiv preprint arXiv:1710.07959, 2017. [21] Shanshan Wang, Rudi Schäfer, and Thomas Guhr. Price response in correlated financial markets: empirical results.
    Paper not yet in RePEc: Add citation now
  14. [3] Michael Benzaquen, Iacopo Mastromatteo, Zoltan Eisler, and Jean-Philippe Bouchaud. Dissecting cross-impact on stock markets: An empirical analysis. Journal of Statistical Mechanics: Theory and Experiment, 2017(2):23406, 2017.
    Paper not yet in RePEc: Add citation now
  15. [4] Jean-Philippe Bouchaud, Julius Bonart, Jonathan Donier, and Martin Gould. Trades, Quotes and Prices. Cambridge University Press, 3 2018. [5] Jordi Caballe and Murugappa Krishnan. Imperfect competition in a multi-security market with risk neutrality.
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  16. [7] Luis Carlos del Molino, Iacopo Mastromatteo, Michael Benzaquen, and Jean-Philippe Bouchaud. The Multivariate Kyle model: More is different. 2018.

  17. [8] David Evangelista and Douglas Vieira. New closed-form approximations in multi-asset market making. arXiv preprint arXiv:1810.04383, 2018.
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  18. arXiv preprint arXiv:1510.03205, 2015. [22] Shanshan Wang, Rudi Schäfer, and Thomas Guhr. Cross-response in correlated financial markets: individual stocks.
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  19. Econometrica (1986-1998), 62(3):695, 1994. [6] Pierre Cardaliaguet and Charles-Albert Lehalle. Mean field game of controls and an application to trade crowding.
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Cocites

Documents in RePEc which have cited the same bibliography

  1. Optimal Pair–Trade Execution with Generalized Cross–Impact. (2022). Shimoshimizu, Makoto ; Ohnishi, Masamitsu.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:29:y:2022:i:2:d:10.1007_s10690-021-09349-1.

    Full description at Econpapers || Download paper

  2. Cross impact in derivative markets. (2022). Benzaquen, Michael ; Mastromatteo, Iacopo ; Tomas, Mehdi.
    In: Post-Print.
    RePEc:hal:journl:hal-03378903.

    Full description at Econpapers || Download paper

  3. How to build a cross-impact model from first principles: Theoretical requirements and empirical results. (2022). Benzaquen, Michael ; Mastromatteo, Iacopo ; Tomas, Mehdi.
    In: Post-Print.
    RePEc:hal:journl:hal-02567489.

    Full description at Econpapers || Download paper

  4. Cross impact in derivative markets. (2021). Mastromatteo, Iacopo ; Tomas, Mehdi ; Benzaquen, Michael.
    In: Working Papers.
    RePEc:hal:wpaper:hal-03378903.

    Full description at Econpapers || Download paper

  5. A characterisation of cross-impact kernels. (2021). Tomas, Mehdi ; Rosenbaum, Mathieu.
    In: Papers.
    RePEc:arx:papers:2107.08684.

    Full description at Econpapers || Download paper

  6. Cross impact in derivative markets. (2021). Benzaquen, Michael ; Mastromatteo, Iacopo ; Tomas, Mehdi.
    In: Papers.
    RePEc:arx:papers:2102.02834.

    Full description at Econpapers || Download paper

  7. Forecasting with importance-sampling and path-integrals: Applications to COVID-19. (2020). Ingber, Lester.
    In: Lester Ingber Papers.
    RePEc:lei:ingber:20fi.

    Full description at Econpapers || Download paper

  8. How to build a cross-impact model from first principles: Theoretical requirements and empirical results. (2020). Benzaquen, Michael ; Mastromatteo, Iacopo ; Tomas, Mehdi.
    In: Working Papers.
    RePEc:hal:wpaper:hal-02567489.

    Full description at Econpapers || Download paper

  9. The Multivariate Kyle model: More is different. (2020). Mastromatteo, I ; Garcia, L C ; J.-P. Bouchaud, ; J. -P. Bouchaud, ; Benzaquen, Michael.
    In: Post-Print.
    RePEc:hal:journl:hal-02323433.

    Full description at Econpapers || Download paper

  10. How to build a cross-impact model from first principles: Theoretical requirements and empirical results. (2020). Benzaquen, Michael ; Mastromatteo, Iacopo ; Tomas, Mehdi.
    In: Papers.
    RePEc:arx:papers:2004.01624.

    Full description at Econpapers || Download paper

  11. Multi-dimensional optimal trade execution under stochastic resilience. (2019). Xia, Xiaonyu ; Horst, Ulrich.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:23:y:2019:i:4:d:10.1007_s00780-019-00394-3.

    Full description at Econpapers || Download paper

  12. Developing bid-ask probabilities for high-frequency trading. (2019). Ingber, Lester.
    In: Lester Ingber Papers.
    RePEc:lei:ingber:19db.

    Full description at Econpapers || Download paper

  13. The Multivariate Kyle model: More is different. (2019). J.-P. Bouchaud, ; J. -P. Bouchaud, ; Benzaquen, Michael ; Mastromatteo, I ; Garcia, L C.
    In: Working Papers.
    RePEc:hal:wpaper:hal-02323433.

    Full description at Econpapers || Download paper

  14. Algorithmic market making: the case of equity derivatives. (2019). Gu, Olivier ; Bergault, Philippe ; Baldacci, Bastien.
    In: Papers.
    RePEc:arx:papers:1907.12433.

    Full description at Econpapers || Download paper

  15. Size matters for OTC market makers: viscosity approach and dimensionality reduction technique. (2019). Gu, Olivier ; Bergault, Philippe.
    In: Papers.
    RePEc:arx:papers:1907.01225.

    Full description at Econpapers || Download paper

  16. Optimal liquidation under stochastic liquidity. (2018). Frentrup, Peter ; Bilarev, Todor ; Becherer, Dirk.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0346-2.

    Full description at Econpapers || Download paper

  17. Optimal inventory management and order book modeling. (2018). Mounjid, Othmane ; Evangelista, David ; Bouchard, Bruno ; Baradel, Nicolas.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01710301.

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  18. Optimal inventory management and order book modeling. (2018). Mounjid, Othmane ; Evangelista, David ; Bouchard, Bruno ; Baradel, Nicolas.
    In: Post-Print.
    RePEc:hal:journl:hal-01710301.

    Full description at Econpapers || Download paper

  19. Optimizing Market Making using Multi-Agent Reinforcement Learning. (2018). Patel, Yagna.
    In: Papers.
    RePEc:arx:papers:1812.10252.

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  20. The Multivariate Kyle model: More is different. (2018). Bouchaud, Jean-Philippe ; Benzaquen, Michael ; Mastromatteo, Iacopo ; Garc, Luis Carlos.
    In: Papers.
    RePEc:arx:papers:1806.07791.

    Full description at Econpapers || Download paper

  21. Optimal inventory management and order book modeling. (2018). Mounjid, Othmane ; Evangelista, David ; Bouchard, Bruno ; Baradel, Nicolas.
    In: Papers.
    RePEc:arx:papers:1802.08135.

    Full description at Econpapers || Download paper

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Authors registered in RePEc who have wrote about the same topic

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