1 citations · 1 across the 1 of their papers we have counts for
3 papers
q-fin.TR2023
Reconciling Open Interest with Traded Volume in Perpetual Swaps
Ioannis Giagkiozis, Emilio Said
Perpetual swaps are derivative contracts that allow traders to speculate on, or hedge, the price movements of cryptocurrencies. Unlike futures contracts, perpetual swaps have no se…
q-fin.TR2022★ 1 cited
Market Impact: Empirical Evidence, Theory and Practice
Emilio Said
We propose a theory of the market impact of metaorders based on a coarse-grained approach where the microscopic details of supply and demand is replaced by a single parameter $ρ\in…
q-fin.TR2019
How Option Hedging Shapes Market Impact
Emilio Said
We present a perturbation theory of the market impact based on an extension of the framework proposed by [Loeper, 2018] -- originally based on [Liu and Yong, 2005] -- in which we c…