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Jacques Joubert

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Date
2022/05/18
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Shell | Systematic Trader
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*** Market Microstructure - Quantitative Research ***I am happy to share my last paper on market impact which completes the previous ones that I published on equity and options market during the last years (links in comments). This third paper completes the two previous ones and closes this market impact trilogy I started 6 years ago. In this paper, we propose a theory of the market impact of metaorders based on a coarse-grained approach where the microscopic details of supply and demand is replaced by a single parameter ρ ∈ [0, +∞] shaping the supply-demand equilibrium and the market impact process during the execution of the metaorder. Our model provides an unified explanation of most of the empirical observations that have been reported and establishes a strong connection between the excess volatility puzzle and the order-driven view of the markets through the square-root law.I would like to thank Marcos Lopez de Prado and Prof. Alexander Lipton for their comments on the preliminary version of this paper. I am also particularly grateful to Charles-Albert Lehalle for his careful reading, comments and the many interesting discussions we had about it.
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Integromat
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https://www.linkedin.com/feed/update/urn:li:activity:6932772811241316352
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https://www.linkedin.com/in/jacquesjoubert/
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