Iacopo Mastromatteo

Capital Fund Management

Research Associate

France

  • Capital Fund Management

SCHOLARLY PAPERS

16

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7,146

SSRN CITATIONS
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Top 14,304

in Total Papers Citations

88

CROSSREF CITATIONS

19

Scholarly Papers (16)

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1.

The Cost of Misspecifying Price Impact

Number of pages: 14 Posted: 02 Jun 2023
Natascha Hey, Jean-Philippe Bouchaud, Iacopo Mastromatteo, Johannes Muhle-Karbe and Kevin Webster
École Polytechnique - Chair of Econophysics and Complex System, Capital Fund Management, Capital Fund Management, Imperial College London - Department of Mathematics and Columbia University
Downloads 1,707 (20,299)
Citation 1

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Nonlinear price impact, model misspecification, optimal trading

2.

Trading with Concave Price Impact and Impact Decay - Theory and Evidence

Number of pages: 30 Posted: 29 Nov 2023
Natascha Hey, Iacopo Mastromatteo, Johannes Muhle-Karbe and Kevin Webster
École Polytechnique - Chair of Econophysics and Complex System, Capital Fund Management, Imperial College London - Department of Mathematics and Columbia University
Downloads 1,431 (26,499)

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Nonlinear price impact, optimal trading,

3.

Zooming In on Equity Factor Crowding

Number of pages: 7 Posted: 05 Feb 2020
Valerio Volpati, Michael Benzaquen, Zoltan Eisler, Iacopo Mastromatteo, Bence Toth and Jean-Philippe Bouchaud
Capital Fund Management, Ecole Polytechnique, PalaiseauCapital Fund Management, Imperial College London - Department of Mathematics, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 1,362 (28,513)
Citation 1

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4.

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, PalaiseauCapital Fund Management
Downloads 470 (118,265)
Citation 3

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5.

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

Number of pages: 17 Posted: 30 Nov 2014 Last Revised: 02 Dec 2014
Jonathan Donier, Julius Bonart, Iacopo Mastromatteo and Jean-Philippe Bouchaud
Université Paris VI Pierre et Marie Curie, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 435 (129,550)
Citation 21

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

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, PalaiseauCapital Fund Management
Downloads 337 (172,344)

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7.

Trading Lightly: Cross-Impact and Optimal Portfolio Execution

Number of pages: 7 Posted: 10 Apr 2017
Iacopo Mastromatteo, Michael Benzaquen, Zoltan Eisler and Jean-Philippe Bouchaud
Capital Fund Management, Ecole Polytechnique, PalaiseauCapital Fund Management, Imperial College London - Department of Mathematics and Capital Fund Management
Downloads 300 (195,046)
Citation 12

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8.

Dissecting Cross-Impact on Stock Markets: An Empirical Analysis

Number of pages: 22 Posted: 10 Sep 2016 Last Revised: 03 Nov 2016
Michael Benzaquen, Iacopo Mastromatteo, Zoltan Eisler and Jean-Philippe Bouchaud
Ecole Polytechnique, PalaiseauCapital Fund Management, Capital Fund Management, Imperial College London - Department of Mathematics and Capital Fund Management
Downloads 185 (310,885)
Citation 20

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Market impact

9.

Impact Is Not Just Volatility

Number of pages: 5 Posted: 03 Jun 2019
Frederic Bucci, Iacopo Mastromatteo, Michael Benzaquen and Jean-Philippe Bouchaud
Scuola Normale Superiore, Capital Fund Management, Ecole Polytechnique, PalaiseauCapital Fund Management and Capital Fund Management
Downloads 164 (345,785)

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10.

Co-Impact: Crowding Effects in Institutional Trading Activity

Number of pages: 29 Posted: 10 May 2018
Frederic Bucci, Iacopo Mastromatteo, Zoltan Eisler, Fabrizio Lillo, Jean-Philippe Bouchaud and Charles‐Albert Lehalle
Scuola Normale Superiore, Capital Fund Management, Imperial College London - Department of Mathematics, Università di Bologna, Capital Fund Management and Capital Fund Management
Downloads 162 (349,415)
Citation 9

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11.

When Is Cross Impact Relevant?

Le Coz, Victor, Iacopo Mastromatteo, Damien Challet, and Michael Benzaquen. “When Is Cross Impact Relevant?” Quantitative Finance 24, no. 2 (February 2024): 265–79. https://doi.org/10.1080/14697688.2024.2302827.
Number of pages: 18 Posted: 31 May 2023 Last Revised: 27 Mar 2024
Victor Le Coz, Iacopo Mastromatteo, Damien Challet and Michael Benzaquen
Ecole Polytechnique, Palaiseau, Capital Fund Management, CentraleSupélec and Ecole Polytechnique, PalaiseauCapital Fund Management
Downloads 159 (354,914)

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12.

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 109 (475,917)
Citation 3

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network reconstruction, systemic risk, financial stability, stress test

13.

Microfounding GARCH Models and Beyond: A Kyle-inspired Model with Adaptive Agents

Number of pages: 20 Posted: 23 Jun 2022
Michele Vodret, Iacopo Mastromatteo, Bence Toth and Michael Benzaquen
Ecole Polytechnique, Palaiseau, Capital Fund Management, Capital Fund Management and Ecole Polytechnique, PalaiseauCapital Fund Management
Downloads 100 (505,854)

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14.

The Multivariate Kyle Model: More is Different

Number of pages: 30 Posted: 08 Jul 2018 Last Revised: 19 Dec 2018
Luis Carlos Garcia del Molino, Iacopo Mastromatteo, Michael Benzaquen and Jean-Philippe Bouchaud
Capital Fund Management, Capital Fund Management, Ecole Polytechnique, PalaiseauCapital Fund Management and Capital Fund Management
Downloads 87 (557,087)
Citation 5

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15.

Do fundamentals shape the price response? A critical assessment of linear impact models

Number of pages: 20 Posted: 14 Dec 2021
Michele Vodret, Iacopo Mastromatteo, Bence Toth and Michael Benzaquen
Ecole Polytechnique, Palaiseau, Capital Fund Management, Capital Fund Management and Ecole Polytechnique, PalaiseauCapital Fund Management
Downloads 76 (598,620)
Citation 2

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Market microstructure, price impact, calibration, multi-scale analysis.

16.

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, PalaiseauCapital Fund Management
Downloads 62 (666,604)
Citation 2

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