Iacopo Mastromatteo

Capital Fund Management

Research Associate

France

SCHOLARLY PAPERS

7

DOWNLOADS

731

CITATIONS
Rank 18,322

SSRN RANKINGS

Top 18,322

in Total Papers Citations

26

Scholarly Papers (7)

1.

A Fully Consistent, Minimal Model for Non-Linear Market Impact

Number of pages: 17 Posted: 30 Nov 2014 Last Revised: 02 Dec 2014
Université Paris VI Pierre et Marie Curie, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 309 (96,403)
Citation 20

Abstract:

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market microstructure, price formation, market impact, reaction-diffusion, limit order book, non-arbitrage

2.

Trading Lightly: Cross-Impact and Optimal Portfolio Execution

Number of pages: 7 Posted: 10 Apr 2017
Capital Fund Management, Ecole Polytechnique, Palaiseau, Capital Fund Management and Capital Fund Management
Downloads 129 (217,978)
Citation 4

Abstract:

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3.

Dissecting Cross-Impact on Stock Markets: An Empirical Analysis

Number of pages: 22 Posted: 10 Sep 2016 Last Revised: 03 Nov 2016
Ecole Polytechnique, Palaiseau, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 121 (228,819)
Citation 5

Abstract:

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Market impact

4.

Reconstruction of Financial Networks for Robust Estimation of Systemic Risk

Number of pages: 13 Posted: 28 Sep 2011
Matteo Marsili, Iacopo Mastromatteo and Elia Zarinelli
Abdus Salam International Centre for Theoretical Physics (ICTP), Capital Fund Management and LIST S.p.A.
Downloads 79 (303,546)
Citation 8

Abstract:

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network reconstruction, systemic risk, financial stability, stress test

5.

Co-Impact: Crowding Effects in Institutional Trading Activity

Number of pages: 29 Posted: 10 May 2018
Scuola Normale Superiore, Capital Fund Management, Capital Fund Management, Università di Bologna, Capital Fund Management and Capital Fund Management
Downloads 44 (404,206)
Citation 4

Abstract:

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6.

Impact Is Not Just Volatility

Number of pages: 5 Posted: 03 Jun 2019
Scuola Normale Superiore, Capital Fund Management, Ecole Polytechnique, Palaiseau and Capital Fund Management
Downloads 34 (447,652)

Abstract:

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7.

The Multivariate Kyle Model: More is Different

Number of pages: 30 Posted: 08 Jul 2018 Last Revised: 19 Dec 2018
Capital Fund Management, Capital Fund Management, Ecole Polytechnique, Palaiseau and Capital Fund Management
Downloads 15 (544,110)

Abstract:

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