Zobrazeno 1 - 10
of 116
pro vyhledávání: '"Mastromatteo Iacopo"'
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 shocks driving such fluctuations to the surprises in the order flows,
Externí odkaz:
http://arxiv.org/abs/2409.12282
Publikováno v:
ESAIM: Proceedings and Surveys, Vol 51, Pp 320-336 (2015)
This paper gives an account of the talks given by the authors at the 2014 MAS conference in Toulouse. These talks present recent research in the field of econophysics and quantitative finance.
Externí odkaz:
https://doaj.org/article/6cdfa502c2994c0d84eee3b4a49cde7d
Autor:
Hey, Natascha, Bouchaud, Jean-Philippe, Mastromatteo, Iacopo, Muhle-Karbe, Johannes, Webster, Kevin
Portfolio managers' orders trade off return and trading cost predictions. Return predictions rely on alpha models, whereas price impact models quantify trading costs. This paper studies what happens when trades are based on an incorrect price impact
Externí odkaz:
http://arxiv.org/abs/2306.00599
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 United States, we identify the features that make cross-impact relevant to
Externí odkaz:
http://arxiv.org/abs/2305.16915
We use an agnostic information-theoretic approach to investigate the statistical properties of natural images. We introduce the Multiscale Relevance (MSR) measure to assess the robustness of images to compression at all scales. Starting in a controll
Externí odkaz:
http://arxiv.org/abs/2303.12717
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 with the Adaptive Market Hypothesis, where agents use inductive rather t
Externí odkaz:
http://arxiv.org/abs/2206.06764
Using Random Matrix Theory, we propose a universal and versatile tool to reveal the existence of "fleeting modes", i.e. portfolios that carry statistically significant excess risk, signalling ex-post a change in the correlation structure in the under
Externí odkaz:
http://arxiv.org/abs/2205.01012
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 encoded in the order flow, with those of the propagator model, a purely data
Externí odkaz:
http://arxiv.org/abs/2112.04245
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 instruments, such as derivatives, is an open problem. To address this,
Externí odkaz:
http://arxiv.org/abs/2102.02834
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 well-known Kyle model, by dropping the assumption of a terminal time at w
Externí odkaz:
http://arxiv.org/abs/2011.10242