4 papers
Passive Market Impact: A Point Process Approach
Youssef Ouazzani Chahdi, Mathieu Rosenbaum, Grégoire Szymanski
While the market impact of aggressive orders has been extensively studied, the impact of passive orders, those executed through limit orders, remains less understood. The goal of t…
Exact conditional simulation of Point processes: Application to pathwise market impact estimation
Joseph Leclère, Youssef Ouazzani Chahdi, Mathieu Rosenbaum +1
Market impact is defined as the difference between the observed price trajectory under a given execution strategy and the counterfactual trajectory that would have prevailed withou…
Bridging the Reality Gap in Limit Order Book Simulation
Patrick Noble, Mathieu Rosenbaum, Saad Souilmi
We introduce a practical, interactive simulator of the limit order book for large-tick assets, designed to produce realistic execution, costs, and P&L. The book state is projected…
A unified theory of order flow, market impact, and volatility
Johannes Muhle-Karbe, Youssef Ouazzani Chahdi, Mathieu Rosenbaum +1
We propose a microstructural model for the order flow in financial markets that distinguishes between {\it core orders} and {\it reaction flow}, both modeled as Hawkes processes. T…