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Quantitative finance
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Quantitative Finance
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1
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
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2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
The inelastic market hypothesis : a microstructural interpretation
Bouchaud, Jean-Philippe
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1785-1795
Persistent link: https://www.econbiz.de/10013367946
Saved in:
6
Path shadowing Monte Carlo
Morel, Rudy
;
Bouchaud, Jean-Philippe
- In:
Quantitative finance
24
(
2024
)
9
,
pp. 1199-1225
Persistent link: https://www.econbiz.de/10015196880
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7
Revisiting elastic string models of forward interest rates
Le Coz, Victor
;
Bouchaud, Jean-Philippe
- In:
Quantitative finance
24
(
2024
)
11
,
pp. 1561-1578
Persistent link: https://www.econbiz.de/10015196945
Saved in:
8
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
Saved in:
9
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
Saved in:
10
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
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