250 citations · 1.3k across the 60 of their papers we have counts for
9 papers · 1 filter
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…
Exploration of the Parameter Space in Macroeconomic Agent-Based Models
Karl Naumann-Woleske, Max Sina Knicker, Michael Benzaquen +1
Agent-Based Models (ABM) are computational scenario-generators, which can be used to predict the possible future outcomes of the complex system they represent. To better understand…
Capital Demand Driven Business Cycles: Mechanism and Effects
Karl Naumann-Woleske, Michael Benzaquen, Maxim Gusev +1
We develop a tractable macroeconomic model that captures dynamic behaviors across multiple timescales, including business cycles. The model is anchored in a dynamic capital demand…
Economic Crises in a Model with Capital Scarcity and Self-Reflexive Confidence
Federico Guglielmo Morelli, Karl Naumann-Woleske, Michael Benzaquen +2
In the General Theory, Keynes remarked that the economy's state depends on expectations, and that these expectations can be subject to sudden swings. In this work, we develop a mul…
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…
A new spin on optimal portfolios and ecological equilibria
Jerome Garnier-Brun, Michael Benzaquen, Stefano Ciliberti +1
We consider the classical problem of optimal portfolio construction with the constraint that no short position is allowed, or equivalently the valid equilibria of multispecies Lotk…
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…
Crisis Propagation in a Heterogeneous Self-Reflexive DSGE Model
Federico Guglielmo Morelli, Michael Benzaquen, Jean-Philippe Bouchaud +1
We study a self-reflexive DSGE model with heterogeneous households, aimed at characterising the impact of economic recessions on the different strata of the society. Our framework…