Similar Search Results

Co-impact : crowding effects in institutional trading activity

Bucci, Frederic; Mastromatteo, Iacopo; Eisler, Zoltan; … - In: Quantitative finance 20 (2020) 2, pp. 193-205

Persistent link: https://www.econbiz.de/10012194861

Diffusive behavior and the modeling of characteristic times in limit order executions

Eisler, Zoltan; Kertesz, Janos; Lillo, Fabrizio; … - In: Quantitative Finance 9 (2009) 5, pp. 547-563

We present an empirical study of the first passage time (FPT) of order book prices needed to observe a prescribed price change Δ, the time to fill (TTF) for executed limit orders and the time to cancel (TTC) for canceled orders in a double auction market. We find that the distribution of all...

Persistent link: https://www.econbiz.de/10004966872

Impact is not just volatility

Bucci, Frédéric; Mastromatteo, Iacopo; Benzaquen, Michael - In: Quantitative finance 19 (2019) 11, pp. 1763-1766

Persistent link: https://www.econbiz.de/10012194824

Linear models for the impact of order flow on prices, I.: History dependent impact models

Taranto, Damian Eduardo; Bormetti, Giacomo; Bouchaud, … - In: Quantitative finance 18 (2018) 6, pp. 903-915

Persistent link: https://www.econbiz.de/10011910928

Linear models for the impact of order flow on prices, II.: The Mixture Transition Distribution model

Taranto, Damian Eduardo; Bormetti, Giacomo; Bouchaud, … - In: Quantitative finance 18 (2018) 6, pp. 917-931

Persistent link: https://www.econbiz.de/10011910934

Slow decay of impact in equity markets : insights from the ANcerno database

Bucci, Frédéric; Benzaquen, Michael; Lillo, Fabrizio; … - In: Market microstructure and liquidity 4 (2018) 3/4, pp. 1-14

Persistent link: https://www.econbiz.de/10012227833

Do fundamentals shape the price response? : a critical assessment of linear impact models

Vodret, Michele; Mastromatteo, Iacopo; Tóth, Bence; … - In: Quantitative finance 22 (2022) 12, pp. 2139-2150

Persistent link: https://www.econbiz.de/10013490934

Hawkes processes in finance

Bacry, Emmanuel; Mastromatteo, Iacopo; Muzy, Jean-François - In: Market microstructure and liquidity 1 (2015) 1, pp. 1-59

Persistent link: https://www.econbiz.de/10011588193

How to build a cross-impact model from first principles : theoretical requirements and empirical results

Tomas, Mehdi; Mastromatteo, Iacopo; Benzaquen, Michael - In: Quantitative finance 22 (2022) 6, pp. 1017-1036

Persistent link: https://www.econbiz.de/10013367882

When is cross impact relevant?

Le Coz, Victor; Mastromatteo, Iacopo; Challet, Damien; … - In: Quantitative finance 24 (2024) 2, pp. 265-279

Persistent link: https://www.econbiz.de/10014551975