Free Webinar: Mehdi Tomas: How to Build a Cross-Impact Model from 1st Principles
Webinar
Thursday, April 23, 2020 - 06:30 PM
Until: Thursday, April 23, 2020 - 08:30 PM
(Adjusted for timezone: Europe/London)
Categories
PLEASE NOTE THAT THIS WEBINAR WILL START ON THURSDAY, 23 APRIL, 2020, AT 6:30pm ***LONDON TIME***
Cross-impact, namely the fact that on average buy (sell) trades on a financial instrument induce positive (negative) price changes in other correlated assets, can be measured from abundant, although noisy, market data. We propose a principled approach that allows to perform model selection for cross-impact models and confront them to empirical data from different markets. These models enable better estimates of portfolio execution costs.
BIOGRAPHY
Mehdi is a PhD student at École Polytechnique working on cross impact: market impact between different assets. He won (with Blanka Horvath and Aitor Muguruza) the 2020 Rising Stars award from Risk Magazine. He holds a Master’s in Mathematical Finance from Imperial College and a Master’s in Engineering from École Centrale Paris, and previously worked on FX options at HSBC.
LINKS TO PAPERS AND ANIMATIONS
Mehdi Tomas, Iacopo Mastromatteo, Michael Benzaquen. How to build a cross-impact model from first principles: Theoretical requirements and empirical results.
https://www.ssrn.com/abstract=3567815
For more information visit https://www.meetup.com/thalesians/events/269916749/
Cross-impact, namely the fact that on average buy (sell) trades on a financial instrument induce positive (negative) price changes in other correlated assets, can be measured from abundant, although noisy, market data. We propose a principled approach that allows to perform model selection for cross-impact models and confront them to empirical data from different markets. These models enable better estimates of portfolio execution costs.
BIOGRAPHY
Mehdi is a PhD student at École Polytechnique working on cross impact: market impact between different assets. He won (with Blanka Horvath and Aitor Muguruza) the 2020 Rising Stars award from Risk Magazine. He holds a Master’s in Mathematical Finance from Imperial College and a Master’s in Engineering from École Centrale Paris, and previously worked on FX options at HSBC.
LINKS TO PAPERS AND ANIMATIONS
Mehdi Tomas, Iacopo Mastromatteo, Michael Benzaquen. How to build a cross-impact model from first principles: Theoretical requirements and empirical results.
https://www.ssrn.com/abstract=3567815
For more information visit https://www.meetup.com/thalesians/events/269916749/