10 citations · 33 across the 20 of their papers we have counts for
6 papers · 1 filter
Price Impact on Term Structure
Damiano Brigo, Federico Graceffa, Eyal Neuman
We introduce a first theory of price impact in presence of an interest-rates term structure. We explain how one can formulate instantaneous and transient price impact on bonds with…
The Multiplicative Chaos of Fractional Brownian Fields
Paul Hager, Eyal Neuman
We consider a family of fractional Brownian fields on , where denotes their Hurst parameter. We first define a rich class of normalizin…
A central bank strategy for defending a currency peg
Eyal Neuman, Alexander Schied, Chengguo Weng +1
We consider a central bank strategy for maintaining a two-sided currency target zone, in which an exchange rate of two currencies is forced to stay between two thresholds. To keep…
Evidence of Crowding on Russell 3000 Reconstitution Events
Alessandro Micheli, Eyal Neuman
We develop a methodology which replicates in great accuracy the FTSE Russell indexes reconstitutions, including the quarterly rebalancings due to new initial public offerings (IPOs…
Scaling Properties of a Moving Polymer
Carl Mueller, Eyal Neuman
We set up an SPDE model for a moving, weakly self-avoiding polymer with intrinsic length taking values in . Our main result states that the effective radius of the…
Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
Eyal Neuman, Moritz Voß
We study optimal liquidation in the presence of linear temporary and transient price impact along with taking into account a general price predicting finite-variation signal. We fo…