交叉影响何时相关？

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE

Quantitative Finance Pub Date : 2024-02-06 DOI:10.1080/14697688.2024.2302827

Victor Le Coz, Iacopo Mastromatteo, Damien Challet, Michael Benzaquen

引用次数: 0

摘要

一种资产的交易压力会影响另一种资产的价格，这种现象被称为交叉影响。利用美国上市的 500 种资产 5 年来的逐笔数据，我们发现了一种交叉影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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When is cross impact relevant?

Trading pressure from one asset can move the price of another, a phenomenon referred to as cross impact. Using tick-by-tick data spanning 5 years for 500 assets listed in the United States, we iden...

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来源期刊

Quantitative Finance 社会科学-数学跨学科应用

CiteScore

3.20

自引率

7.70%

发文量

102

审稿时长

4-8 weeks

期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.