Iacopo Mastromatteo

Capital Fund Management

Research Associate

France

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 25,845

SSRN RANKINGS

Top 25,845

in Total Papers Downloads

2,198

SSRN CITATIONS
Rank 18,304

SSRN RANKINGS

Top 18,304

in Total Papers Citations

37

CROSSREF CITATIONS

19

Scholarly Papers (11)

1.

Zooming In on Equity Factor Crowding

Number of pages: 7 Posted: 05 Feb 2020
Capital Fund Management, Ecole Polytechnique, Palaiseau, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 945 (28,236)
Citation 1

Abstract:

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2.

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 334 (105,898)
Citation 20

Abstract:

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

3.

How to Build a Cross-Impact Model from First Principles: Theoretical Requirements and Empirical Results

Number of pages: 24 Posted: 29 Apr 2020 Last Revised: 04 Feb 2021
Mehdi Tomas, Iacopo Mastromatteo and Michael Benzaquen
Ecole Polytechnique, Capital Fund Management and Ecole Polytechnique, Palaiseau
Downloads 238 (150,746)
Citation 2

Abstract:

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4.

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 161 (214,967)
Citation 9

Abstract:

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5.

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 132 (252,726)
Citation 8

Abstract:

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Market impact

6.

Cross Impact in Derivative Markets

Number of pages: 17 Posted: 18 Feb 2021
Mehdi Tomas, Iacopo Mastromatteo and Michael Benzaquen
Ecole Polytechnique, Capital Fund Management and Ecole Polytechnique, Palaiseau
Downloads 93 (322,839)

Abstract:

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7.

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 87 (336,705)
Citation 7

Abstract:

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8.

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 80 (353,977)
Citation 3

Abstract:

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network reconstruction, systemic risk, financial stability, stress test

9.

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 78 (359,164)

Abstract:

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10.

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 30 (540,374)
Citation 4

Abstract:

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11.

A Stationary Kyle Setup: Microfounding Propagator Models

Number of pages: 25 Posted: 05 Jan 2021
Michele Vodret, Iacopo Mastromatteo, Bence Toth and Michael Benzaquen
Ecole Polytechnique, Palaiseau, Capital Fund Management, Capital Fund Management and Ecole Polytechnique, Palaiseau
Downloads 20 (602,541)

Abstract:

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