A characterisation of cross-impact kernels

DOI10.3934/fmf.2022005zbMath1519.91248arXiv2107.08684OpenAlexW3186588014MaRDI QIDQ6105369

Mathieu Rosenbaum, Mehdi Tomas

Publication date: 26 June 2023

Published in: Frontiers of Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2107.08684

zbMATH Keywords

market efficiencymarket microstructuremarket impactstatistical arbitragemultidimensional processescross impact

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with continuous parameter (60G44) Financial markets (91G15)

Related Items (1)

Cross-impact of order flow imbalance in equity markets

Cites Work

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