12 citations · 24 across the 10 of their papers we have counts for
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q-fin.MF2024
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…
q-fin.MF2023
The two square root laws of market impact and the role of sophisticated market participants
Bruno Durin, Mathieu Rosenbaum, Grégoire Szymanski
The goal of this paper is to disentangle the roles of volume and of participation rate in the price response of the market to a sequence of transactions. To do so, we are inspired…