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

Mehdi Tomas; Iacopo Mastromatteo; Michael Benzaquen

doi:10.1080/14697688.2021.2020328

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

Mehdi Tomas
, Iacopo Mastromatteo
, Michael Benzaquen

Research output: Contribution to journal › Article › peer-review

Abstract

Which models of the cross-impacts of trading financial instruments make sense?.

Original language	English
Pages (from-to)	1017-1036
Number of pages	20
Journal	Quantitative Finance
Volume	22
Issue number	6
DOIs	https://doi.org/10.1080/14697688.2021.2020328
Publication status	Published - 1 Jan 2022

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

Abstract

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