Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions
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- Mehdi Tomas & Iacopo Mastromatteo & Michael Benzaquen, 2020. "How to build a cross-impact model from first principles: Theoretical requirements and empirical results," Papers 2004.01624, arXiv.org, revised Sep 2020.
- Luis Carlos Garc'ia del Molino & Iacopo Mastromatteo & Michael Benzaquen & Jean-Philippe Bouchaud, 2018. "The Multivariate Kyle model: More is different," Papers 1806.07791, arXiv.org, revised Dec 2018.
- Ulrich Horst & Xiaonyu Xia, 2019. "Multi-dimensional optimal trade execution under stochastic resilience," Finance and Stochastics, Springer, vol. 23(4), pages 889-923, October.
- Mehdi Tomas & Iacopo Mastromatteo & Michael Benzaquen, 2020. "How to build a cross-impact model from first principles: Theoretical requirements and empirical results," Working Papers hal-02567489, HAL.
- L. C. Garcia Del Molino & I. Mastromatteo & Michael Benzaquen & J.-P. Bouchaud, 2020. "The Multivariate Kyle model: More is different," Post-Print hal-02323433, HAL.
- Dirk Becherer & Todor Bilarev & Peter Frentrup, 2018. "Optimal liquidation under stochastic liquidity," Finance and Stochastics, Springer, vol. 22(1), pages 39-68, January.
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Keywordsmultivariate price impact; matrix-valued positive definite function; optimal trade execution; optimal portfolio liquidation; matrix function;
All these keywords.
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