Francesco Capponi

Imperial College London

South Kensington Campus

Exhibition Road

London, Greater London SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

2

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Rank 31,743

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Top 31,743

in Total Papers Downloads

3,016

SSRN CITATIONS

4

CROSSREF CITATIONS

3

Scholarly Papers (2)

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 2,170 (13,507)
Citation 11

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 846 (54,413)
Citation 3

Abstract:

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market impact, cross-impact, liquidity, volatility