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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
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2
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:
3
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
Saved in:
4
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
Saved in:
5
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:
6
Optimal multi-asset trading with linear costs : a mean-field approach
Emschwiller, Matt
;
Petit, Benjamin
;
Bouchaud, Jean-Philippe
- In:
Quantitative finance
21
(
2021
)
2
,
pp. 185-195
Persistent link: https://www.econbiz.de/10012424556
Saved in:
7
Market impact with multi-timescale liquidity
Benzaquen, M.
;
Bouchaud, Jean-Philippe
- In:
Quantitative finance
18
(
2018
)
11
,
pp. 1781-1790
Persistent link: https://www.econbiz.de/10012261996
Saved in:
8
Multivariate quadratic Hawkes processes, part I, theoretical analysis
Aubrun, Cécilia
;
Benzaquen, Michael
;
Bouchaud, …
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 741-758
Persistent link: https://www.econbiz.de/10014304341
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