186 citations · 359 across the 12 of their papers we have counts for
17 papers
Agnostic Risk Parity: Taming Known and Unknown-Unknowns
Raphael Benichou, Yves Lempérière, Emmanuel Sérié +4
Markowitz' celebrated optimal portfolio theory generally fails to deliver out-of-sample diversification. In this note, we propose a new portfolio construction strategy based on sym…
Slow decay of impact in equity markets
X. Brokmann, E. Serie, J. Kockelkoren +1
Using a proprietary dataset of meta-orders and prediction signals, and assuming a quasi-linear impact model, we deconvolve market impact from past correlated trades and a predictab…
A Fokker-Planck description for the queue dynamics of large tick stocks
A. Gareche, G. Disdier, J. Kockelkoren +1
Motivated by empirical data, we develop a statistical description of the queue dynamics for large tick assets based on a two-dimensional Fokker-Planck (diffusion) equation, that ex…
Models for the impact of all order book events
Zoltan Eisler, Jean-Philippe Bouchaud, Julien Kockelkoren
We propose a general framework to describe the impact of different events in the order book, that generalizes previous work on the impact of market orders. Two different modeling r…
Anomalous price impact and the critical nature of liquidity in financial markets
Bence Toth, Yves Lemperiere, Cyril Deremble +3
We propose a dynamical theory of market liquidity that predicts that the average supply/demand profile is V-shaped and {\it vanishes} around the current price. This result is gener…
How does the market react to your order flow?
Bence Toth, Zoltan Eisler, Fabrizio Lillo +3
We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identi…