586 citations · 2.5k across the 49 of their papers we have counts for
3 papers · 1 filter
Impact is not just volatility
Frédéric Bucci, Iacopo Mastromatteo, Michael Benzaquen +1
The notion of market impact is subtle and sometimes misinterpreted. Here we argue that impact should not be misconstrued as volatility. In particular, the so-called ``square-root i…
Are trading invariants really invariant? Trading costs matter
Frédéric Bucci, Fabrizio Lillo, Jean-Philippe Bouchaud +1
We revisit the trading invariance hypothesis recently proposed by Kyle and Obizhaeva by empirically investigating a large dataset of bets, or metaorders, provided by ANcerno. The h…
Slow decay of impact in equity markets: insights from the ANcerno database
Frédéric Bucci, Michael Benzaquen, Fabrizio Lillo +1
We present an empirical study of price reversion after the executed metaorders. We use a data set with more than 8 million metaorders executed by institutional investors in the US…