Michael Benzaquen

Ecole Polytechnique, Palaiseau

Route de Saclay

Palaiseau, 91128

France

Capital Fund Management

23 rue de l'Université

Paris, 75007

France

SCHOLARLY PAPERS

25

DOWNLOADS
Rank 20,822

SSRN RANKINGS

Top 20,822

in Total Papers Downloads

2,751

SSRN CITATIONS
Rank 19,135

SSRN RANKINGS

Top 19,135

in Total Papers Citations

32

CROSSREF CITATIONS

21

Scholarly Papers (25)

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 941 (28,277)
Citation 1

Abstract:

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2.

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 236 (151,423)
Citation 2

Abstract:

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3.

Why does individual learning endure when crowds are wiser?

Number of pages: 11 Posted: 05 Jan 2021
affiliation not provided to SSRN, affiliation not provided to SSRN, Capital Fund Management and Ecole Polytechnique, Palaiseau
Downloads 183 (191,813)
Citation 1

Abstract:

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Cultural evolution, Wisdom of crowds, Complex systems, Network models

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 (214,192)
Citation 8

Abstract:

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5.

Market Impact with Multi-Timescale Liquidity

Number of pages: 17 Posted: 11 Oct 2017 Last Revised: 18 Oct 2017
Michael Benzaquen and Jean-Philippe Bouchaud
Ecole Polytechnique, Palaiseau and Capital Fund Management
Downloads 131 (253,354)
Citation 2

Abstract:

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Market microstructure; price formation; limit order book; market impact

6.

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 131 (253,354)
Citation 8

Abstract:

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Market impact

7.

Unravelling the Trading Invariance Hypothesis

Number of pages: 11 Posted: 12 Feb 2016
Michael Benzaquen, Jonathan Donier and Jean-Philippe Bouchaud
Ecole Polytechnique, Palaiseau, Université Paris VI Pierre et Marie Curie and Capital Fund Management
Downloads 127 (259,256)
Citation 3

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market microstructure, trading invariance, volatility

8.

Crossover from Linear to Square-Root Market Impact

Number of pages: 5 Posted: 06 Dec 2018
Scuola Normale Superiore, Ecole Polytechnique, Palaiseau, Università di Bologna and Capital Fund Management
Downloads 98 (311,049)
Citation 6

Abstract:

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9.

Cross Impact in Derivative Markets

Number of pages: 17
Mehdi Tomas, Iacopo Mastromatteo and Michael Benzaquen
Ecole Polytechnique, Capital Fund Management and Ecole Polytechnique, Palaiseau
Downloads 82 (347,777)

Abstract:

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10.

Slow Decay of Impact in Equity Markets: Insights From the ANcerno Database

Number of pages: 12 Posted: 28 Jan 2019
Scuola Normale Superiore, Ecole Polytechnique, Palaiseau, Università di Bologna and Capital Fund Management
Downloads 78 (358,053)
Citation 4

Abstract:

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11.

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 77 (360,740)

Abstract:

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12.

Conditional Correlations and Principal Regression Analysis for Futures

Number of pages: 12 Posted: 04 Feb 2020
University of Paris-Saclay - Ecole Polytechnique, Capital Fund Management, Ecole Polytechnique, Palaiseau and Capital Fund Management
Downloads 65 (395,679)

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13.

How Does Latent Liquidity Get Revealed in the Limit Order Book?

Number of pages: 18 Posted: 12 Sep 2018
University of Paris-Saclay - Ecole Polytechnique, University of Paris-Saclay - Ecole Polytechnique, Capital Fund Management and Ecole Polytechnique, Palaiseau
Downloads 64 (398,819)
Citation 1

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14.

Are Trading Invariants Really Invariant? Trading Costs Matter

Number of pages: 13 Posted: 27 Feb 2019
Scuola Normale Superiore, Università di Bologna, Capital Fund Management and Ecole Polytechnique, Palaiseau
Downloads 54 (433,067)
Citation 2

Abstract:

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15.

A Fractional Reaction-Diffusion Description of Supply and Demand

Number of pages: 7 Posted: 10 Apr 2017
Michael Benzaquen and Jean-Philippe Bouchaud
Ecole Polytechnique, Palaiseau and Capital Fund Management
Downloads 48 (455,635)
Citation 1

Abstract:

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16.

Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events

Number of pages: 17 Posted: 08 Jun 2020
Antoine Fosset, Jean-Philippe Bouchaud and Michael Benzaquen
University of Paris-Saclay - Ecole Polytechnique, Capital Fund Management and Ecole Polytechnique, Palaiseau
Downloads 41 (485,218)

Abstract:

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17.

Confidence Collapse in a Multi-Household, Self-Reflexive DSGE Model

Number of pages: 6 Posted: 17 Jul 2019
Sorbonne University, Ecole Polytechnique, Palaiseau, Université Paris VI Pierre et Marie Curie and Capital Fund Management
Downloads 38 (498,833)

Abstract:

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18.

Endogenous Liquidity Crises

Number of pages: 21 Posted: 17 Dec 2019
Antoine Fosset, Jean-Philippe Bouchaud and Michael Benzaquen
University of Paris-Saclay - Ecole Polytechnique, Capital Fund Management and Ecole Polytechnique, Palaiseau
Downloads 34 (518,046)
Citation 2

Abstract:

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19.

Schrödinger’s Ants: A Continuous Description of Kirman’s Recruitment Model

Number of pages: 15 Posted: 08 May 2020
University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, University of Paris-Saclay - Ecole Polytechnique, Ecole Polytechnique, Palaiseau and Capital Fund Management
Downloads 33 (523,145)
Citation 3

Abstract:

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20.

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 (538,813)
Citation 4

Abstract:

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21.

By Force of Habit: Self-Trapping in a Dynamical Utility Landscape

Number of pages: 7 Posted: 24 Apr 2020
University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, University of Paris-Saclay - Ecole Polytechnique, University of Paris-Saclay - Ecole Polytechnique, Capital Fund Management and Ecole Polytechnique, Palaiseau
Downloads 29 (544,468)
Citation 1

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22.

Tâtonnement, Approach to Equilibrium and Excess Volatility in Firm Networks

Number of pages: 46 Posted: 05 Jan 2021
University of Paris-Saclay - Ecole Polytechnique, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, Ecole Polytechnique, Palaiseau and Capital Fund Management
Downloads 27 (555,992)
Citation 1

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23.

From Ants to Fishing Vessels: A Simple Model for Herding and Exploitation of Finite Resources

Number of pages: 18 Posted: 12 Nov 2020
José Moran, Antoine Fosset, Alan P. Kirman and Michael Benzaquen
University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, University of Paris-Saclay - Ecole Polytechnique, Aix Marseile University and Ecole des Hautes Etudes en Sciences SocialesCAMS EHESS and Ecole Polytechnique, Palaiseau
Downloads 27 (555,992)

Abstract:

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24.

A Stationary Kyle Setup: Microfounding Propagator Models

Number of pages: 25 Posted: 05 Jan 2021
Ecole Polytechnique, Palaiseau, Capital Fund Management, Capital Fund Management and Ecole Polytechnique, Palaiseau
Downloads 16 (628,126)

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25.

Crisis Propagation in a Heterogeneous Self-Reflexive DSGE Model

Number of pages: 12
Sorbonne University, Ecole Polytechnique, Palaiseau, Capital Fund Management and Université Paris VI Pierre et Marie Curie
Downloads 0

Abstract:

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