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}
}
  • M. RosenbaumM. Tomas
  • Published 19 July 2021
  • Mathematics
  • Capital Markets: Market Microstructure eJournal
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… 

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