89 citations · 362 across the 27 of their papers we have counts for
4 papers · 1 filter
Linear processes in high-dimension: phase space and critical properties
Iacopo Mastromatteo, Emmanuel Bacry, Jean-François Muzy
In this work we investigate the generic properties of a stochastic linear model in the regime of high-dimensionality. We consider in particular the Vector AutoRegressive model (VAR…
A fully consistent, minimal model for non-linear market impact
Jonathan Donier, Julius Bonart, Iacopo Mastromatteo +1
We propose a minimal theory of non-linear price impact based on a linear (latent) order book approximation, inspired by diffusion-reaction models and general arguments. Our framewo…
Apparent impact: the hidden cost of one-shot trades
Iacopo Mastromatteo
We study the problem of the execution of a moderate size order in an illiquid market within the framework of a solvable Markovian model. We suppose that in order to avoid impact co…
Anomalous impact in reaction-diffusion models
Iacopo Mastromatteo, Bence Toth, Jean-Philippe Bouchaud
We generalize the reaction-diffusion model A + B -> 0 in order to study the impact of an excess of A (or B) at the reaction front. We provide an exact solution of the model, which…