9 citations · 36 across the 12 of their papers we have counts for
4 papers · 1 filter
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…
Dynamical regularities of US equities opening and closing auctions
Damien Challet, Nikita Gourianov
We first investigate the evolution of opening and closing auctions volumes of US equities along the years. We then report dynamical properties of pre-auction periods: the indicativ…
Emergence of product differentiation from consumer heterogeneity and asymmetric information
Linyuan Lü, Matus Medo, Yi-Cheng Zhang +1
We introduce a fully probabilistic framework of consumer product choice based on quality assessment. It allows us to capture many aspects of marketing such as partial information a…
Feedback and efficiency in limit order markets
Damien Challet
A consistency criterion for price impact functions in limit order markets is proposed that prohibits chain arbitrage exploitation. Both the bid-ask spread and the feedback of seque…