79 citations · 106 across the 10 of their papers we have counts for
7 papers · 1 filter
Unravelling the trading invariance hypothesis
Michael Benzaquen, Jonathan Donier, Jean-Philippe Bouchaud
We confirm and substantially extend the recent empirical result of Andersen et al. \cite{Andersen2015}, where it is shown that the amount of risk exchanged in the E-mini S\&P f…
Quadratic Hawkes processes for financial prices
Pierre Blanc, Jonathan Donier, Jean-Philippe Bouchaud
We introduce and establish the main properties of QHawkes ("Quadratic" Hawkes) models. QHawkes models generalize the Hawkes price models introduced in E. Bacry et al. (2014), by al…
From Walras' auctioneer to continuous time double auctions: A general dynamic theory of supply and demand
Jonathan Donier, Jean-Philippe Bouchaud
In standard Walrasian auctions, the price of a good is defined as the point where the supply and demand curves intersect. Since both curves are generically regular, the response to…
Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights
Jonathan Donier, Jean-Philippe Bouchaud
Crashes have fascinated and baffled many canny observers of financial markets. In the strict orthodoxy of the efficient market theory, crashes must be due to sudden changes of the…
A Million Metaorder Analysis of Market Impact on the Bitcoin
Jonathan Donier, Julius Bonart
We present a thorough empirical analysis of market impact on the Bitcoin/USD exchange market using a complete dataset that allows us to reconstruct more than one million metaorders…
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…