186 citations · 635 across the 15 of their papers we have counts for
20 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…
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…
A Stationary Kyle Setup: Microfounding propagator models
Michele Vodret, Iacopo Mastromatteo, Bence Tóth +1
We provide an economically sound micro-foundation to linear price impact models, by deriving them as the equilibrium of a suitable agent-based system. Our setup generalizes the wel…
Zooming In on Equity Factor Crowding
Valerio Volpati, Michael Benzaquen, Zoltan Eisler +3
Crowding is most likely an important factor in the deterioration of strategy performance, the increase of trading costs and the development of systemic risk. We study the imprints…
The short-term price impact of trades is universal
Bence Toth, Zoltan Eisler, Jean-Philippe Bouchaud
We analyze a proprietary dataset of trades by a single asset manager, comparing their price impact with that of the trades of the rest of the market. In the context of a linear pro…
Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model
Damian Eduardo Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud +2
Modeling the impact of the order flow on asset prices is of primary importance to understand the behavior of financial markets. Part I of this paper reported the remarkable improve…