3 citations · 4 across the 4 of their papers we have counts for
3 papers · 1 filter
A characterisation of cross-impact kernels
Mathieu Rosenbaum, Mehdi Tomas
Trading a financial asset pushes its price as well as the prices of other assets, a phenomenon known as cross-impact. We consider a general class of kernel-based cross-impact model…
Cross impact in derivative markets
Mehdi Tomas, Iacopo Mastromatteo, Michael Benzaquen
Trading a financial asset pushes its price as well as the prices of other assets, a phenomenon known as cross-impact. The empirical estimation of this effect on complex financial i…
How to build a cross-impact model from first principles: Theoretical requirements and empirical results
Mehdi Tomas, Iacopo Mastromatteo, Michael Benzaquen
Trading a financial instrument pushes its price and those of other assets, a phenomenon known as cross-impact. To be of use, cross-impact models must fit data and be well-behaved s…