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

DOI10.1080/14697688.2021.2020328zbMath1491.91135arXiv2004.01624MaRDI QIDQ5079390

Michael Benzaquen, Mehdi Tomas, Iacopo Mastromatteo

Publication date: 27 May 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.01624

Mathematics Subject Classification ID

Financial markets (91G15)

Related Items (2)

Cross-impact of order flow imbalance in equity markets ⋮ A characterisation of cross-impact kernels

Cites Work

• Dynamic portfolio choice with frictions
• No-dynamic-arbitrage and market impact
• Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions
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• From microscopic price dynamics to multidimensional rough volatility models
• Closed-form Approximations in Multi-asset Market Making
• The Multivariate Kyle Model: More is Different
• Portfolio choice with small temporary and transient price impact

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