89 citations · 362 across the 27 of their papers we have counts for
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q-fin.TR2016★ 64 cited
Dissecting cross-impact on stock markets: An empirical analysis
Michael Benzaquen, Iacopo Mastromatteo, Zoltan Eisler +1
The vast majority of market impact studies assess each product individually, and the interactions between the different order flows are disregarded. This strong approximation may l…
stat.ML2016★ 46 cited
Uncovering Causality from Multivariate Hawkes Integrated Cumulants
Massil Achab, Emmanuel Bacry, Stéphane Gaïffas +2
We design a new nonparametric method that allows one to estimate the matrix of integrated kernels of a multivariate Hawkes process. This matrix not only encodes the mutual influenc…