{"id":1445,"date":"2021-03-16T10:42:06","date_gmt":"2021-03-16T09:42:06","guid":{"rendered":"http:\/\/mathfinance.sns.it\/?p=1445"},"modified":"2021-03-16T10:44:29","modified_gmt":"2021-03-16T09:44:29","slug":"mehdi-tomas-and-michael-benzaquen-cross-impact-modeling-on-derivative-markets","status":"publish","type":"post","link":"http:\/\/mathfinance.sns.it\/index.php\/mehdi-tomas-and-michael-benzaquen-cross-impact-modeling-on-derivative-markets\/","title":{"rendered":"Mehdi Tomas and Michael Benzaquen, Cross-Impact modeling on derivative markets"},"content":{"rendered":"<p>March 16 at 4 pm (CEST).<br \/>\n<strong>Presenters<\/strong>: Mehdi Tomas and Michael Benzaquen (CFM and Ecole Polytechnique)<br \/>\n<strong>Title<\/strong>: Cross-Impact modeling on derivative markets<br \/>\n<strong>Abstract<\/strong>:  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.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>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 [&hellip;]<\/p>\n","protected":false},"author":7,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":[],"categories":[13],"tags":[],"_links":{"self":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/1445"}],"collection":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/users\/7"}],"replies":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/comments?post=1445"}],"version-history":[{"count":2,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/1445\/revisions"}],"predecessor-version":[{"id":1447,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/1445\/revisions\/1447"}],"wp:attachment":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/media?parent=1445"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/categories?post=1445"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/tags?post=1445"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}