A characterisation of cross-impact kernels
@article{Rosenbaum2021ACO, title={A characterisation of cross-impact kernels}, author={Mathieu Rosenbaum and Mehdi Tomas}, journal={Capital Markets: Market Microstructure eJournal}, year={2021} }
Trading a financial asset pushes its price as well as the prices of other assets, a phenomenon known as cross-impact. We consider a general class of kernel-based cross-impact models and investigate suitable parametrisations for trading purposes. We focus on kernels that guarantee that prices are martingales and anticipate future order flow (martingale-admissible kernels) and those that ensure there is no possible price manipulation (no-statistical-arbitrage-admissible kernels). We determine the…
2 Citations
Cross Impact in Derivative Markets
- EconomicsSSRN Electronic Journal
- 2021
We introduce a linear cross-impact framework in a setting in which the price of some given financial instruments (derivatives) is a deterministic function of one or more, possibly tradeable,…
How to build a cross-impact model from first principles: theoretical requirements and empirical results
- EconomicsSSRN Electronic Journal
- 2020
A principled approach is proposed that allows to perform model selection for cross-impact models, showing that symmetries and consistency requirements are particularly effective in reducing the universe of possible models to a much smaller set of viable candidates, thus mitigating the effect of noise on the properties of the inferred model.
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