Mehdi Tomas: How to model time-dependent multivariate price impact

Name: Mehdi Tomas: How to model time-dependent multivariate price impact
Uploaded: 2021-08-19
Duration: 1 min 3 s
Description: Trading a financial asset pushes its price as well as the prices of other assets, a phenomenon known as cross-impact. Cross impact is not a second order effect compared to market impact, its univariate, well-known counterpart. On stocks, different studies report that cross-impact is ~20% of market impact. On futures, where price correlations are higher, cross-impact is ~80% of market impact.

by Admin
2021-08-192021-10-30

pending

36 views

Mehdi Tomas: How to model time-dependent multivariate price impact

You may also like