2 papers
q-fin.ST2024
Revisiting Elastic String Models of Forward Interest Rates
Victor Le Coz, Jean-Philippe Bouchaud
Twenty five years ago, several authors proposed to describe the forward interest rate curve (FRC) as an elastic string along which idiosyncratic shocks propagate, accounting for th…
q-fin.TR2023
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…