Market impacts and the life cycle of investors orders
E Bacry, A Iuga, M Lasnier… - Market Microstructure and …, 2015 - World Scientific
This study is the first to decipher market impact at all time scales on the same database,
from a trade-by-trade scale to a daily one. Moreover, the very concentrated nature of the …
from a trade-by-trade scale to a daily one. Moreover, the very concentrated nature of the …
To cross or not to cross the spread: that is the question
P Besson, S Pelin, M Lasnier - The Journal of Trading, 2016 - pm-research.com
Traders have always empirically estimated the short-term dynamic of the market. Contrary to
popular belief, building a quantitative estimate of the next trade is not some sort of “Holy …
popular belief, building a quantitative estimate of the next trade is not some sort of “Holy …
Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades?
P Besson, M Lasnier - Quantitative Finance, 2022 - Taylor & Francis
… Paul Besson & Matthieu Lasnier … Paul Besson & Matthieu Lasnier … Paul Besson &
Matthieu Lasnier …
Matthieu Lasnier …
The benefits of european periodic auctions beyond MiFID dark trading caps
P Besson, M Lasnier, A Falck - The Journal of Investing, 2019 - joi.pm-research.com
Initially designed as a better alternative than dark trading, the success of periodic auctions
has spread across all European stocks. On capped stocks, the market share of periodic …
has spread across all European stocks. On capped stocks, the market share of periodic …
The benefits of resiliency to standard market impact models
P Besson, M Lasnier - Market Microstructure and Liquidity, 2017 - World Scientific
We leverage Kepler Cheuvreux client order database over the period October 2014 — October
2016 (349,442 trades corresponding to a EUR92.3bn turnover) to estimate new models …
2016 (349,442 trades corresponding to a EUR92.3bn turnover) to estimate new models …
When Less Is More: Passive Volume Algos for Enhanced Performance
P Besson, M Lasnier - Available at SSRN 2947867, 2017 - papers.ssrn.com
Standard Volume algos induce predictable aggressive trades. Large aggressive orders in
the market often trigger, in turn, aggressive trades from Standard Volume algos. This …
the market often trigger, in turn, aggressive trades from Standard Volume algos. This …
[BOOK][B] Market microstructure in practice
CA Lehalle, S Laruelle - 2018 - books.google.com
… Stéphanie Pelin and Matthieu Lasnier have been of great help for this second edition. …
Currently, a quantitative analyst at KeplerCheuvreux, Matthieu Lasnier’s fields of expertise include …
Currently, a quantitative analyst at KeplerCheuvreux, Matthieu Lasnier’s fields of expertise include …
Mathematical Models to Study and Control the Price Formation Process
CA Lehalle - 2015 - hal.science
Le processus de formation des prix est au coeur de tout modèles de mathématiques financières.
D’abord approximé par un mouvement brownien (cf.[Karatzas & Shreve, 1998]), puis en …
D’abord approximé par un mouvement brownien (cf.[Karatzas & Shreve, 1998]), puis en …
Dynamique des carnets d'ordres: analyse statistique, modélisation et prévision
W Huang - 2015 - theses.fr
Cette thèse est composée de deux parties reliées, le premier sur le carnet d'ordre et le
deuxième sur les effets de valeur de tick. Dans la première partie, nous présentons notre cadre …
deuxième sur les effets de valeur de tick. Dans la première partie, nous présentons notre cadre …
Modélisation et analyse statistique de la formation des prix à travers les échelles, Market impact
RA Iuga - 2014 - theses.fr
… Je voudrais remercier Matthieu Lasnier qui a rendu concrète ma collaboration avec Cheuvreux
en me fournissant toutes les données dont j’ai eu besoin et avec qui j’ai pu avoir de nom…
en me fournissant toutes les données dont j’ai eu besoin et avec qui j’ai pu avoir de nom…