When is cross impact relevant?

Victor Le Coz, Iacopo Mastromatteo, Damien Challet and Michael Benzaquen ()
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Victor Le Coz: X - École polytechnique - IP Paris - Institut Polytechnique de Paris, LadHyX - Laboratoire d'hydrodynamique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique
Michael Benzaquen: LadHyX - Laboratoire d'hydrodynamique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique, X - École polytechnique - IP Paris - Institut Polytechnique de Paris

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Date: 2024
Note: View the original document on HAL open archive server: https://hal.science/hal-04234766v1
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Published in Quantitative Finance, 2024, 24 (2), pp.265

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Journal Article: When is cross impact relevant? (2024)
Working Paper: When is cross impact relevant? (2024)
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