When is cross impact relevant?
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(This abstract was borrowed from another version of this item.)
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Note: View the original document on HAL open archive server: https://hal.science/hal-04234766
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Other versions of this item:
- Victor Le Coz & Iacopo Mastromatteo & Damien Challet & Michael Benzaquen, 2023. "When is cross impact relevant?," Papers 2305.16915, arXiv.org, revised Mar 2024.
References listed on IDEAS
- Shanshan Wang, 2017. "Trading strategies for stock pairs regarding to the cross-impact cost," Papers 1701.03098, arXiv.org, revised Jul 2017.
- Mehdi Tomas & Iacopo Mastromatteo & Michael Benzaquen, 2021. "Cross impact in derivative markets," Working Papers hal-03378903, HAL.
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