14 citations · 17 across the 4 of their papers we have counts for
5 papers
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…
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…
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…
Market Impact: A Systematic Study of the High Frequency Options Market
Emilio Said, Ahmed Bel Hadj Ayed, Damien Thillou +2
This paper deals with a fundamental subject that has seldom been addressed in recent years, that of market impact in the options market. Our analysis is based on a proprietary data…
Market Impact: A Systematic Study of Limit Orders
Emilio Said, Ahmed Bel Hadj Ayed, Alexandre Husson +1
This paper is devoted to the important yet little explored subject of the market impact of limit orders. Our analysis is based on a proprietary database of metaorders - large order…