About the lab

To be completed. https://www.econophysix.com/

Featured research (3)

Trading pressure from one asset can move the price of another, a phenomenon referred to as cross impact. Using tick-by-tick data spanning 5 years for 500 assets listed in the United States, we identify the features that make cross-impact relevant to explain the variance of price returns. We show that price formation occurs endogenously within highly liquid assets. Then, trades in these assets influence the prices of less liquid correlated products, with an impact velocity constrained by their minimum trading frequency. We investigate the implications of such a multidimensional price formation mechanism on interest rate markets. We find that the 10-year bond future serves as the primary liquidity reservoir, influencing the prices of cash bonds and futures contracts within the interest rate curve. Such behaviour challenges the validity of the theory in Financial Economics that regards long-term rates as agents anticipations of future short term rates.

Lab head

Michael Benzaquen
Department
  • Laboratoire d'Hydrodynamique (LadHyX)

Members (15)

Iacopo Mastromatteo
  • Capital Fund Management
Armine Karami
  • French National Centre for Scientific Research
Lorenzo Dall'Amico
  • Institute for Scientific Interchange
Jose Moran
  • Macrocosm
Jonathan Donier
  • Sorbonne University
Karl Naumann-Woleske
  • École Polytechnique
Thierry Ondarçuhu
Thierry Ondarçuhu
  • Not confirmed yet
Marco Rivetti
Marco Rivetti
  • Not confirmed yet
Luis Carlos Garcia del Molino
Luis Carlos Garcia del Molino
  • Not confirmed yet
Frédéric Bucci
Frédéric Bucci
  • Not confirmed yet
Romain Labbé
Romain Labbé
  • Not confirmed yet
Paul D. Fowler
Paul D. Fowler
  • Not confirmed yet
Caroline Mortagne
Caroline Mortagne
  • Not confirmed yet
J.-P. Bouchaud
J.-P. Bouchaud
  • Not confirmed yet