3 papers
q-fin.TR2025
The Subtle Interplay between Square-root Impact, Order Imbalance & Volatility II: An Artificial Market Generator
Guillaume Maitrier, Grégoire Loeper, Jean-Philippe Bouchaud
This work extends and complements our previous theoretical paper on the subtle interplay between impact, order flow and volatility. In the present paper, we generate synthetic mark…
q-fin.TR2025
Generating realistic metaorders from public data
Guillaume Maitrier, Grégoire Loeper, Jean-Philippe Bouchaud
This paper introduces a novel algorithm for generating realistic metaorders from public trade data, addressing a longstanding challenge in price impact research that has traditiona…
q-fin.TR2025
The "double" square-root law: Evidence for the mechanical origin of market impact using Tokyo Stock Exchange data
Guillaume Maitrier, Grégoire Loeper, Kiyoshi Kanazawa +1
Understanding the impact of trades on prices is a crucial question for both academic research and industry practice. It is well established that impact follows a square-root impact…