5 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…
Trading with market resistance and concave price impact
Nathan De Carvalho, Youssef Ouazzani Chahdi, Grégoire Szymanski
We consider an optimal trading problem under a market impact model with endogenous market resistance generated by a sophisticated trader who (partially) detects metaorders and trad…
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…
Mean-Field Limits for Nearly Unstable Hawkes Processes
Grégoire Szymanski, Wei Xu
In this paper, we establish general scaling limits for nearly unstable Hawkes processes in a mean-field regime by extending the method introduced by Jaisson and Rosenbaum. Under a…