89 citations · 362 across the 27 of their papers we have counts for
37 papers
On Bonart's interpretation of the Square-Root Impact Law
J. -P. Bouchaud, I. Mastromatteo, B. Toth
The square-root impact law (SRIL), , bundles two facts that a single mechanism must explain at once: a shape (impact proportional to square-root of traded volume…
How does liquidity shape the yield curve?
Victor Le Coz, Iacopo Mastromatteo, Michael Benzaquen
The phenomenology of the forward rate curve (FRC) can be accurately understood by the fluctuations of a stiff elastic string (Le Coz and Bouchaud, 2024). By relating the exogenous…
The Cost of Misspecifying Price Impact
Natascha Hey, Jean-Philippe Bouchaud, Iacopo Mastromatteo +2
Portfolio managers' orders trade off return and trading cost predictions. Return predictions rely on alpha models, whereas price impact models quantify trading costs. This paper st…
When is cross impact relevant?
Victor Le Coz, Iacopo Mastromatteo, Damien Challet +1
Trading pressure from one asset can move the price of another, a phenomenon referred to as cross impact. Using tick-by-tick data spanning 5 years for 500 assets listed in the Unite…
Multiscale Relevance of Natural Images
Samy Lakhal, Alexandre Darmon, Iacopo Mastromatteo +2
We use an agnostic information-theoretic approach to investigate the statistical properties of natural images. We introduce the Multiscale Relevance (MSR) measure to assess the rob…
Microfounding GARCH Models and Beyond: A Kyle-inspired Model with Adaptive Agents
Michele Vodret, Iacopo Mastromatteo, Bence Toth +1
We relax the strong rationality assumption for the agents in the paradigmatic Kyle model of price formation, thereby reconciling the framework of asymmetrically informed traders wi…