Mehdi Tomas

Ecole Polytechnique

Route de Saclay

Palaiseau, 91128

France

  • Ecole Polytechnique

SCHOLARLY PAPERS

4

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SSRN CITATIONS
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Top 29,181

in Total Papers Citations

29

CROSSREF CITATIONS

11

Scholarly Papers (4)

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1.

Deep Learning Volatility

Number of pages: 32 Posted: 07 Feb 2019 Last Revised: 20 Jul 2021
Blanka Horvath, Aitor Muguruza and Mehdi Tomas
Mathematical Institute, University of Oxford and Oxford Man Institute, Imperial College London and Ecole Polytechnique
Downloads 5,827 (2,775)
Citation 36

Abstract:

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Rough volatility, volatility modelling, Volterra process, machine learning, accurate price approximation, calibration, model assessment, Monte Carlo

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, PalaiseauCapital Fund Management
Downloads 480 (116,450)
Citation 3

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3.

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 345 (169,731)

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4.

A characterisation of cross-impact kernels

Number of pages: 35 Posted: 22 Jul 2021
Mathieu Rosenbaum and Mehdi Tomas
Ecole Polytechnique, Palaiseau and Ecole Polytechnique
Downloads 293 (201,955)
Citation 4

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Cross impact, market impact, multidimensional processes, market microstructure, market efficiency, statistical arbitrag