How to build a cross-impact model from first principles: theoretical requirements and empirical results-Reference-Cited by-同舟云学术

How to build a cross-impact model from first principles: theoretical requirements and empirical results

Published:2022-02-18 Issue:6 Volume:22 Page:1017-1036
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Tomas Mehdi¹²³,Mastromatteo Iacopo³⁴,Benzaquen Michael¹³⁴^ORCID

Affiliation:

1. Ecole Polytechnique, LadHyX UMR CNRS 7646, Palaiseau Cedex, 91128, France

2. Ecole Polytechnique, CMAP UMR CNRS 7641, Palaiseau Cedex, 91128, France

3. Chair of Econophysics & Complex Systems, Ecole Polytechnique, Palaiseau Cedex, 91128, France

4. Capital Fund Management, 23-25, Rue de l'Université, Paris, 75007, France

Funder

Capital Fund Management

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2021.2020328

Reference28 articles.

1. Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions

2. Dissecting cross-impact on stock markets: an empirical analysis

3. Bergault, P., Evangelista, D., Guéant, O. and Vieira, D., Closed-form approximations in multi-asset market making, 2018. arXiv preprint arXiv:1810.04383.

4. Trades, Quotes and Prices

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