375 citations · 938 across the 22 of their papers we have counts for
30 papers
Is Trend Still Your Friend?: A Microstructural Account of the Demise of Short-Term Trend-Following
Jutta G. Kurth, Zoltan Eisler, Adam Rej +1
Systematic trend following has, on average, been profitable for at least two centuries; yet since approximately 2009, short-term trends have ceased to deliver reliable returns. Usi…
Optimal execution with deterministically time varying liquidity: well posedness and price manipulation
Gianluca Palmari, Fabrizio Lillo, Zoltan Eisler
We investigate the well-posedness in the Hadamard sense and the absence of price manipulation in the optimal execution problem within the Almgren-Chriss framework, where the tempor…
Optimizing Broker Performance Evaluation through Intraday Modeling of Execution Cost
Zoltan Eisler, Johannes Muhle-Karbe
Minimizing execution costs for large orders is a fundamental challenge in finance. Firms often depend on brokers to manage their trades due to limited internal resources for optimi…
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…
Co-impact: Crowding effects in institutional trading activity
Frédéric Bucci, Iacopo Mastromatteo, Zoltán Eisler +3
This paper is devoted to the important yet unexplored subject of crowding effects on market impact, that we call "co-impact". Our analysis is based on a large database of metaorder…
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…