250 citations · 1.3k across the 60 of their papers we have counts for
5 papers · 1 filter
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…
Turbulent windprint on a liquid surface
Stéphane Perrard, Adrián Lozano-Durán, Marc Rabaud +2
We investigate the effect of a light turbulent wind on a liquid surface, below the onset of wave generation. In that regime, the liquid surface is populated by small disorganised d…
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…
Thin or bulky: optimal aspect ratios for ship hulls
Jean-Philippe Boucher, Romain Labbé, Christophe Clanet +1
Empirical data reveals a broad variety of hull shapes among the different ship categories. We present a minimal theoretical approach to address the problem of ship hull optimisatio…