250 citations · 1.3k across the 60 of their papers we have counts for
20 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…
Microfounding GARCH Models and Beyond: A Kyle-inspired Model with Adaptive Agents
Michele Vodret, Iacopo Mastromatteo, Bence Toth +1
We relax the strong rationality assumption for the agents in the paradigmatic Kyle model of price formation, thereby reconciling the framework of asymmetrically informed traders wi…
Multivariate Quadratic Hawkes Processes -- Part I: Theoretical Analysis
Cécilia Aubrun, Michael Benzaquen, Jean-Philippe Bouchaud
Quadratic Hawkes (QHawkes) processes have proved effective at reproducing the statistics of price changes, capturing many of the stylised facts of financial markets. Motivated by t…
Do fundamentals shape the price response? A critical assessment of linear impact models
Michele Vodret, Iacopo Mastromatteo, Bence Tóth +1
We compare the predictions of the stationary Kyle model, a microfounded multi-step linear price impact model in which market prices forecast fundamentals through information encode…
On Hawkes Processes with Infinite Mean Intensity
Cecilia Aubrun, Michael Benzaquen, Jean-Philippe Bouchaud
The stability condition for Hawkes processes and their non-linear extensions usually relies on the condition that the mean intensity is a finite constant. It follows that the total…
Exogenous and Endogenous Price Jumps Belong to Different Dynamical Classes
Riccardo Marcaccioli, Jean-Philippe Bouchaud, Michael Benzaquen
Synchronising a database of stock specific news with 5 years worth of order book data on 300 stocks, we show that abnormal price movements following news releases (exogenous) exhib…
Cross impact in derivative markets
Mehdi Tomas, Iacopo Mastromatteo, Michael Benzaquen
Trading a financial asset pushes its price as well as the prices of other assets, a phenomenon known as cross-impact. The empirical estimation of this effect on complex financial i…
A Stationary Kyle Setup: Microfounding propagator models
Michele Vodret, Iacopo Mastromatteo, Bence Tóth +1
We provide an economically sound micro-foundation to linear price impact models, by deriving them as the equilibrium of a suitable agent-based system. Our setup generalizes the wel…
Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events
Antoine Fosset, Jean-Philippe Bouchaud, Michael Benzaquen
We propose an actionable calibration procedure for general Quadratic Hawkes models of order book events (market orders, limit orders, cancellations). One of the main features of su…
How to build a cross-impact model from first principles: Theoretical requirements and empirical results
Mehdi Tomas, Iacopo Mastromatteo, Michael Benzaquen
Trading a financial instrument pushes its price and those of other assets, a phenomenon known as cross-impact. To be of use, cross-impact models must fit data and be well-behaved s…
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…
Endogenous Liquidity Crises
Antoine Fosset, Jean-Philippe Bouchaud, Michael Benzaquen
Empirical data reveals that the liquidity flow into the order book (depositions, cancellations andmarket orders) is influenced by past price changes. In particular, we show that li…
Impact is not just volatility
Frédéric Bucci, Iacopo Mastromatteo, Michael Benzaquen +1
The notion of market impact is subtle and sometimes misinterpreted. Here we argue that impact should not be misconstrued as volatility. In particular, the so-called ``square-root i…
Are trading invariants really invariant? Trading costs matter
Frédéric Bucci, Fabrizio Lillo, Jean-Philippe Bouchaud +1
We revisit the trading invariance hypothesis recently proposed by Kyle and Obizhaeva by empirically investigating a large dataset of bets, or metaorders, provided by ANcerno. The h…
Slow decay of impact in equity markets: insights from the ANcerno database
Frédéric Bucci, Michael Benzaquen, Fabrizio Lillo +1
We present an empirical study of price reversion after the executed metaorders. We use a data set with more than 8 million metaorders executed by institutional investors in the US…
Crossover from linear to square-Root market impact
Frédéric Bucci, Michael Benzaquen, Fabrizio Lillo +1
Using a large database of 8 million institutional trades executed in the U.S. equity market, we establish a clear crossover between a linear market impact regime and a square-root…
How does latent liquidity get revealed in the limit order book?
Lorenzo Dall'Amico, Antoine Fosset, Jean-Philippe Bouchaud +1
Latent order book models have allowed for significant progress in our understanding of price formation in financial markets. In particular they are able to reproduce a number of st…
The Multivariate Kyle model: More is different
Luis Carlos García del Molino, Iacopo Mastromatteo, Michael Benzaquen +1
We reconsider the multivariate Kyle model in a risk-neutral setting with a single, perfectly informed rational insider and a rational competitive market maker, setting the price of…
Trading Lightly: Cross-Impact and Optimal Portfolio Execution
Iacopo Mastromatteo, Michael Benzaquen, Zoltan Eisler +1
We model the impact costs of a strategy that trades a basket of correlated instruments, by extending to the multivariate case the linear propagator model previously used for single…
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…