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q-fin.TR2026
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…
q-fin.TR2026
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…