When is cross impact relevant?

Cites Work

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Dynamic portfolio choice with frictions
Interest rate models -- theory and practice. With smile, inflation and credit
On the robustness of the F-test to autocorrelation among disturbances
More statistical properties of order books and price impact
No-dynamic-arbitrage and market impact
Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions
Nonlinear price impact from linear models
The Long Memory of the Efficient Market
Institutional Investors and Stock Market Volatility
Do supply and demand drive stock prices?
The Epps effect revisited
Continuous Auctions and Insider Trading
Robust Locally Weighted Regression and Smoothing Scatterplots
Robust regression using repeated medians
Linear models for the impact of order flow on prices. I. History dependent impact models
Strategic Cross-Trading in the U.S. Stock Market*
Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
Cross-impact and no-dynamic-arbitrage
Market heterogeneities and the causal structure of volatility
On the origin of power-law fluctuations in stock prices
The market nanostructure origin of asset price time reversal asymmetry
Price impact on term structure
How to build a cross-impact model from first principles: theoretical requirements and empirical results
Portfolio choice with small temporary and transient price impact
Random walks, liquidity molasses and critical response in financial markets
Estimates of the Regression Coefficient Based on Kendall's Tau
A CLOSER LOOK AT THE EPPS EFFECT
Robustness to non-normality of regression tests
Heterogeneous volatility cascade in financial markets
Cross-impact of order flow imbalance in equity markets
A characterisation of cross-impact kernels
Large Bets and Stock Market Crashes

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