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How to build a cross-impact model from first principles: theoretical requirements and empirical results

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  • Mehdi Tomas
  • Iacopo Mastromatteo
  • Michael Benzaquen

Abstract

Which models of the cross-impacts of trading financial instruments make sense?

Suggested Citation

  • Mehdi Tomas & Iacopo Mastromatteo & Michael Benzaquen, 2022. "How to build a cross-impact model from first principles: theoretical requirements and empirical results," Quantitative Finance, Taylor & Francis Journals, vol. 22(6), pages 1017-1036, June.
    • Handle: RePEc:taf:quantf:v:22:y:2022:i:6:p:1017-1036
    DOI: 10.1080/14697688.2021.2020328
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    Cited by:

    1. Eduardo Abi Jaber & Eyal Neuman & Sturmius Tuschmann, 2024. "Optimal Portfolio Choice with Cross-Impact Propagators," Papers 2403.10273, arXiv.org.

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