Frederic Bucci

Scuola Normale Superiore

Piazza dei Cavalieri, 7

Pisa, 56126

Italy

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SCHOLARLY PAPERS

5

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1,193

TOTAL CITATIONS

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Scholarly Papers (5)

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1.

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

Number of pages: 12 Posted: 28 Jan 2019

Frederic Bucci, Michael Benzaquen, Fabrizio Lillo and Jean-Philippe Bouchaud

Scuola Normale Superiore, Ecole Polytechnique, PalaiseauCapital Fund Management, Università di Bologna and Capital Fund Management

Downloads 336 (223,475)

Citation 4

Abstract:

2.

Crossover from Linear to Square-Root Market Impact

Number of pages: 5 Posted: 06 Dec 2018

Frederic Bucci, Michael Benzaquen, Fabrizio Lillo and Jean-Philippe Bouchaud

Scuola Normale Superiore, Ecole Polytechnique, PalaiseauCapital Fund Management, Università di Bologna and Capital Fund Management

Downloads 309 (246,050)

Citation 7

Abstract:

3.

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 230 (331,797)

Abstract:

4.

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 198 (384,172)

Citation 11

Abstract:

5.

Are Trading Invariants Really Invariant? Trading Costs Matter

Number of pages: 13 Posted: 27 Feb 2019

Frederic Bucci, Fabrizio Lillo, Jean-Philippe Bouchaud and Michael Benzaquen

Scuola Normale Superiore, Università di Bologna, Capital Fund Management and Ecole Polytechnique, PalaiseauCapital Fund Management

Downloads 120 (604,538)

Citation 5

Abstract:

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