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Found 13 papers, 2 papers with code
The Cost of Misspecifying Price Impact
Portfolio managers' orders trade off return and trading cost predictions.
When is cross impact relevant?
Trading pressure from one asset can move the price of another, a phenomenon referred to as cross impact.
Microfounding GARCH Models and Beyond: A Kyle-inspired Model with Adaptive Agents
We relax the strong rationality assumption for the agents in the paradigmatic Kyle model of price formation, thereby reconciling the framework of asymmetrically informed traders with the Adaptive Market Hypothesis, where agents use inductive rather than deductive reasoning.
Excess Out-of-Sample Risk and Fleeting Modes
Using Random Matrix Theory, we propose a universal and versatile tool to reveal the existence of "fleeting modes", i. e. portfolios that carry statistically significant excess risk, signalling ex-post a change in the correlation structure in the underlying asset space.
Do fundamentals shape the price response? A critical assessment of linear impact models
We compare the predictions of the stationary Kyle model, a microfounded multi-step linear price impact model in which market prices forecast fundamentals through information encoded in the order flow, with those of the propagator model, a purely data-driven model in which trades mechanically impact prices with a time-decaying kernel.
Cross impact in derivative markets
Trading a financial asset pushes its price as well as the prices of other assets, a phenomenon known as cross-impact.
A Stationary Kyle Setup: Microfounding propagator models
We provide an economically sound micro-foundation to linear price impact models, by deriving them as the equilibrium of a suitable agent-based system.
How to build a cross-impact model from first principles: Theoretical requirements and empirical results
Trading a financial instrument pushes its price and those of other assets, a phenomenon known as cross-impact.
Zooming In on Equity Factor Crowding
Crowding is most likely an important factor in the deterioration of strategy performance, the increase of trading costs and the development of systemic risk.
The Stochastic complexity of spin models: Are pairwise models really simple?
We thus found that the complexity (or simplicity) of a model is not determined by the order of the interactions, but rather by their mutual arrangements.
Uncovering Causality from Multivariate Hawkes Integrated Cumulants
We design a new nonparametric method that allows one to estimate the matrix of integrated kernels of a multivariate Hawkes process.
Mean-field inference of Hawkes point processes
We propose a fast and efficient estimation method that is able to accurately recover the parameters of a d-dimensional Hawkes point-process from a set of observations.
Hawkes processes in finance
In this paper we propose an overview of the recent academic literature devoted to the applications of Hawkes processes in finance.
Trading and Market Microstructure
