64 citations · 74 across the 8 of their papers we have counts for
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Multivariate Quadratic Hawkes Processes -- Part II: Non-Parametric Empirical Calibration
Cecilia Aubrun, Michael Benzaquen, Jean-Philippe Bouchaud
This is the second part of our work on Multivariate Quadratic Hawkes (MQHawkes) Processes, devoted to the calibration of the model defined and studied analytically in Aubrun, C., B…
How does liquidity shape the yield curve?
Victor Le Coz, Iacopo Mastromatteo, Michael Benzaquen
The phenomenology of the forward rate curve (FRC) can be accurately understood by the fluctuations of a stiff elastic string (Le Coz and Bouchaud, 2024). By relating the exogenous…
Market impact with multi-timescale liquidity
Michael Benzaquen, Jean-Philippe Bouchaud
We present an extended version of the recently proposed "LLOB" model for the dynamics of latent liquidity in financial markets. By allowing for finite cancellation and deposition r…
Dissecting cross-impact on stock markets: An empirical analysis
Michael Benzaquen, Iacopo Mastromatteo, Zoltan Eisler +1
The vast majority of market impact studies assess each product individually, and the interactions between the different order flows are disregarded. This strong approximation may l…