Insights » CFM

Insights and published research

Commentary & Insights

1 February 2020

Alternative Beta Matters - 2020 Q1 Newsletter

Find out more
Whitepapers

9 December 2019

Of presidents and heart attacks - Risk control as diversification through time

Find out more
Commentary & Insights

13 December 2019

European Autumn Seminar 2019

Find out more

FILTER OPTIONS

All papers by:

Equations and Shape of the Optimal Band Strategy

E-print: https://arxiv.org/abs/2003.04646

11 March 2020

Find out more
Impact is not just volatility

E-print: https://arxiv.org/abs/1905.04569

11 May 2019

Find out more
Slow decay of impact in equity markets: insights from the ANcerno database

E-print: https://arxiv.org/abs/1901.05332

23 January 2019

Find out more
The Multivariate Kyle model: more is different

E-print: https://arxiv.org/abs/1806.07791

21 December 2018

Find out more
Crossover from linear to square-root market impact

E-print: https://arxiv.org/abs/1811.05230

14 November 2018

Find out more
Co-impact: Crowding effects in institutional trading activity

E-print: https://arxiv.org/pdf/1804.09565.pdf

26 April 2018

Find out more
The short-term price impact of trades is universal

E-print: https://arxiv.org/abs/1702.08029

26 February 2017

Find out more
Trading lightly: cross-impact and optimal portfolio execution

E-print: https://arxiv.org/abs/1702.03838

13 February 2017

Find out more
Optimal Trading with Linear and (small) Non-Linear Costs

E-print: http://arxiv.org/abs/1511.07359v2

23 November 2015

Find out more
Slow decay of impact in equity markets

E-print: http://arxiv.org/abs/1407.3390

12 July 2014

Find out more
Optimal Trading with Linear Costs

27 March 2012

Find out more
Price Impact

E-print: https://arxiv.org/abs/0903.2428v1

15 November 2009

Find out more