3 citations · 4 across the 4 of their papers we have counts for
Showing 2021Show all
2 papers · 1 filter
q-fin.TR2021
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…
q-fin.TR2021
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…