A characterisation of cross-impact kernels (Q6105369)

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scientific article; zbMATH DE number 7702082
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English
A characterisation of cross-impact kernels
scientific article; zbMATH DE number 7702082

    Statements

    title
    A characterisation of cross-impact kernels (English)
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    author
    Mathieu Rosenbaum
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    Mehdi Tomas
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    publication date
    26 June 2023
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    zbMATH Keywords
    cross impact
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    market impact
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    multidimensional processes
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    market microstructure
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    market efficiency
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    statistical arbitrage
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    Identifiers

    arXiv ID
    2107.08684
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    DOI
    10.3934/fmf.2022005
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    Mathematics Subject Classification ID
    91G15
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    60G44
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    62P05
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    zbMATH DE Number
    7702082
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    OpenAlex ID
    W3186588014
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