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Paul Besson

Euronext

14 Place des Reflets

Courbevoie, 92400

France

SCHOLARLY PAPERS

7

DOWNLOADS

1,994

TOTAL CITATIONS

2

Scholarly Papers (7)

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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 653 (100,682)

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

2.

The Deal/Book Split Analysis: A New Method to Disentangle the Contribution to Market and Limit Orders in Any Price Change

Number of pages: 23 Posted: 18 Jan 2014 Last Revised: 21 Feb 2014
Paul Besson and Charles-Albert Lehalle
Euronext and Abu Dhabi Investment Authority, ADIA
Downloads 582 (116,375)
Citation 2

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price formation process, Information and Market Efficiency, Asset pricing

3.

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 305 (247,802)

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

4.

Despite Fundamentals, Low-Volatility Stocks are Not Always the Least Risky

Number of pages: 26 Posted: 05 Sep 2017
Paul Besson and Eduardo Cepeda
Euronext and Kepler Cheuvreux
Downloads 172 (437,795)

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Low Volatility, Low Beta, Low Correlation, Risk Factors, Behavioural Anomaly, Factor Investing

5.

Lead-Lag and Evasiveness of Price Limits Across Venues Based on Synchronised Orderbook Observations

Number of pages: 22 Posted: 02 Mar 2020
Paul Besson, Stephanie Sureau and Hoang-Nam Nguyen
Euronext, Kepler Cheuvreux and Kepler Cheuvreux
Downloads 147 (511,933)

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market fragmentation, venue analysis, lead-lag analysis, Smart Order Router (SOR), orderbook dynamics, limit evasiveness, ghost liquidity

6.

Intraday Drivers of European Fragmentation Across Venues Based on Synchronised Orderbook Observations

Number of pages: 26 Posted: 02 Mar 2020 Last Revised: 22 Apr 2020
Paul Besson, Stephanie Sureau and Hoang-Nam Nguyen
Euronext, Kepler Cheuvreux and Kepler Cheuvreux
Downloads 135 (544,251)

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market fragmentation, venue analysis, Smart Order Router (SOR), orderbook dynamics

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Mathematical Finance, Market microstructure, Trading strategies