Mehdi Tomas

Ecole Polytechnique

Route de Saclay

Palaiseau, 91128

France

SCHOLARLY PAPERS

4

DOWNLOADS
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Top 14,575

in Total Papers Downloads

4,778

SSRN CITATIONS
Rank 29,640

SSRN RANKINGS

Top 29,640

in Total Papers Citations

19

CROSSREF CITATIONS

10

Scholarly Papers (4)

1.

Deep Learning Volatility

Number of pages: 32 Posted: 07 Feb 2019 Last Revised: 20 Jul 2021
Blanka Horvath, Aitor Muguruza and Mehdi Tomas
ETH Z├╝rich - Department of Mathematics, Imperial College London and Ecole Polytechnique
Downloads 4,049 (3,442)
Citation 33

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
Ecole Polytechnique, Capital Fund Management and Capital Fund ManagementEcole Polytechnique, Palaiseau
Downloads 313 (133,115)
Citation 3

Abstract:

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3.

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 219 (190,122)
Citation 1

Abstract:

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

4.

Cross Impact in Derivative Markets

Number of pages: 17 Posted: 18 Feb 2021
Ecole Polytechnique, Capital Fund Management and Capital Fund ManagementEcole Polytechnique, Palaiseau
Downloads 197 (209,685)

Abstract:

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