no code implementations • 26 Mar 2024 • Victor Le Coz, Jean-Philippe Bouchaud
Twenty five years ago, several authors proposed to model the forward interest rate curve (FRC) as an elastic string along which idiosyncratic shocks propagate, accounting for the peculiar structure of the return correlation across different maturities.
no code implementations • 26 May 2023 • Victor Le Coz, Iacopo Mastromatteo, Damien Challet, Michael Benzaquen
Trading pressure from one asset can move the price of another, a phenomenon referred to as cross impact.
