6 papers
Mean-field equilibrium of heterogeneous agents under market impact
Joseph Leclère, Mathieu Rosenbaum
Although market participants generally have access to a common information set, they make decisions based on forecasts formed over heterogeneous horizons. Because market impact dep…
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…
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…
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…