8 papers
Bridging Schrödinger and Bass: A Semimartingale Optimal Transport Problem with Diffusion Control
Pierre Henry-Labordere, Grégoire Loeper, Othmane Mazhar +2
We study a semimartingale optimal transport problem interpolating between the Schrödinger bridge and the stretched Brownian motion associated with the Bass solution of the Skorokh…
The Martingale Sinkhorn Algorithm
Manuel Hasenbichler, Benjamin Joseph, Gregoire Loeper +2
We develop a numerical method for the martingale analogue of the Benamou--Brenier optimal transport problem, which seeks a martingale interpolating two prescribed marginals which i…
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…
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…
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…
Geometric Martingale Benamou-Brenier transport and geometric Bass martingales
Julio Backhoff, Gregoire Loeper, Jan Obloj
We introduce and study geometric Bass martingales. Bass martingales were introduced in \cite{Ba83} and studied recently in a series of works, including \cite{BaBeHuKa20,BaBeScTs23}…