When is cross impact relevant?-Reference-Cited by-同舟云学术

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When is cross impact relevant?

Published:2024-02 Issue:2 Volume:24 Page:265-279
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Le Coz Victor¹²³,Mastromatteo Iacopo⁴,Challet Damien⁵^ORCID,Benzaquen Michael¹³⁴^ORCID

Affiliation:

1. Chair of Econophysics and Complex Systems, École polytechnique, 91128 Palaiseau Cedex, France

2. Quant AI lab, 29 Rue de Choiseul, 75002 Paris, France

3. LadHyX UMR CNRS 7646, École polytechnique, 91128 Palaiseau Cedex, France

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

5. Laboratoire de Mathématiques et Informatique pour la Complexité et les Systèmes, CentraleSupélec, Université Paris-Saclay, 91192 Gif-sur-Yvette Cedex, France

Funder

Fondation du Risque

Fondation de l'École polytechnique

École polytechnique and Capital Fund Management

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2024.2302827

Reference78 articles.

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

2. Equity market impact;Almgren R.;Risk,2005

3. Trading imbalances, predictable reversals, and cross-stock price pressure

4. Market Impacts and the Life Cycle of Investors Orders

5. Controlling the false discovery rate: A practical and powerful approach to multiple testing;Benjamini Y.;J. R. Stat. Soc. B (Methodol.),1995

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