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A characterisation of cross-impact kernels

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arxiv 2107.08684 v1 pith:LBQLEJNU submitted 2021-07-19 q-fin.TR q-fin.MFq-fin.ST

Mathieu Rosenbaum , Mehdi Tomas This is my paper · ORCID
classification q-fin.TRq-fin.MFq-fin.ST
keywords kernelscross-impactdatapricepricestradinganticipateasset
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Trading a financial asset pushes its price as well as the prices of other assets, a phenomenon known as cross-impact. We consider a general class of kernel-based cross-impact models and investigate suitable parameterisations for trading purposes. We focus on kernels that guarantee that prices are martingales and anticipate future order flow (martingale-admissible kernels) and those that ensure there is no possible price manipulation (no-statistical-arbitrage-admissible kernels). We determine the overlap between these two classes and provide formulas for calibration of cross-impact kernels on data. We illustrate our results using SP500 futures data.

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Cited by 1 Pith paper

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  1. Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures

    q-fin.MF 2025-05 conditional novelty 4.0 of 10

    Order flow imbalance can be modeled as a mean-reverting Levy-driven shock to the price drift, giving closed-form mean and variance for future log returns.

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