4 papers · 1 filter
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…