March 16 at 4 pm (CEST).
Presenters: Mehdi Tomas and Michael Benzaquen (CFM and Ecole Polytechnique)
Title: Cross-Impact modeling on derivative markets
Abstract: Impact modeling on derivatives is challenging on two grounds. First, liquidity in some markets (e.g., options) can be fragmented across correlated, illiquid instruments. Second, their prices are locked by non-arbitrage. Univariate impact models cannot account for these problems. Instead, we need to rely on cross-impact, its cross-sectional generalization. We introduce the Kyle cross-impact model which aggregates liquidity and is consistent with no-arbitrage. We illustrate our framework using data from E-Mini futures, options and VIX futures. The resulting model is useful for optimal execution and estimation of hedging costs.

March 2 at 5 pm (CEST).
Presenters: Michele Vodret and Iacopo Mastromatteo. (CFM and Ecole Polytechnique)
Title: Understanding the relation between trades and price changes is of paramount importance for practitioners, yet challenging for theoreticians.
Abstract: On one hand models coming from econophysics/quantitative-finance literature predict a price impact function that slowly decays in order to compensate the long-range correlation of the order flow. On the other hand, these models lacks from a proper micro-foundation, customary in models coming from the theoretical economics literature, which build on rational expectations and asymmetric information, and typically prescribe linear impact. Recently, we extended the classic Kyle model, partially bridging the gap between these two classes of models. We will show our findings and suggest future lines of research.