Insights » CFM

Insights and published research

Whitepapers

30 October 2020

Bond equity correlations: are the times a-changin’?

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Commentary & Insights

17 September 2020

CFM Talks To: Eric Beinhocker

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Theory

19 June 2020

V-, U-, L-, or W-shaped recovery after COVID? Insights from an Agent Based Model

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Equations and Shape of the Optimal Band Strategy

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

11 March 2020

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Impact is not just volatility

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

11 May 2019

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

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

23 January 2019

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The Multivariate Kyle model: more is different

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

21 December 2018

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Crossover from linear to square-root market impact

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

14 November 2018

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Co-impact: Crowding effects in institutional trading activity

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

26 April 2018

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The short-term price impact of trades is universal

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

26 February 2017

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Trading lightly: cross-impact and optimal portfolio execution

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

13 February 2017

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Optimal Trading with Linear and (small) Non-Linear Costs

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

23 November 2015

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Slow decay of impact in equity markets

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

12 July 2014

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Optimal Trading with Linear Costs

27 March 2012

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Price Impact

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

15 November 2009

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