Francesco Capponi

Imperial College London

South Kensington Campus

Exhibition Road

London, Greater London SW7 2AZ

United Kingdom

  • Imperial College London

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Scholarly Papers (2)

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1.

Trade Duration, Volatility and Market Impact

Number of pages: 33 Posted: 08 Apr 2019 Last Revised: 17 Apr 2019
Francesco Capponi and Rama Cont
Imperial College London and University of Oxford
Downloads 1,681 (16,531)
Citation 7

Abstract:

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market impact; transaction costs; trade execution; liquidity; volatility

2.

Multi-Asset Market Impact and Order Flow Commonality

Number of pages: 23 Posted: 12 Jan 2021
Francesco Capponi and Rama Cont
Imperial College London and University of Oxford
Downloads 570 (75,434)
Citation 1

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market impact, cross-impact, liquidity, volatility