Matthieu Lasnier

Kepler Cheuvreux

112 avenue Kl├ęber

Paris, 75116

France

SCHOLARLY PAPERS

4

DOWNLOADS

733

SSRN CITATIONS
Rank 49,366

SSRN RANKINGS

Top 49,366

in Total Papers Citations

12

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

Cumulative Market Impact of Consecutive Orders Over One and Two Days: How Long Does the Market Remember Past Trades?

Number of pages: 45 Posted: 02 Apr 2020
Paul Besson and Matthieu Lasnier
Euronext and Kepler Cheuvreux
Downloads 316 (133,172)

Abstract:

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market impact, consecutive orders, meta orders, trading scheduling policy, memoryless process

2.

The Benefits of Resiliency to Standard Market Impact Models

Number of pages: 23 Posted: 17 Jan 2015 Last Revised: 05 Apr 2017
Paul Besson and Matthieu Lasnier
Euronext and Kepler Cheuvreux
Downloads 231 (182,640)

Abstract:

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Market microstructure, Market impact, Trading imbalance, Order book replenishment, Order book resiliency

3.

Market Impacts and the Life Cycle of Investors Orders

Number of pages: 30 Posted: 01 Dec 2014 Last Revised: 07 Dec 2014
CMAP CNRS-UMR 7641 and Ecole Polytechnique, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Kepler Cheuvreux and Abu Dhabi Investment Authority, ADIA
Downloads 186 (222,807)
Citation 13

Abstract:

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Abstract:

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Mathematical Finance, Market microstructure, Trading strategies