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Iacopo Mastromatteo
Iacopo Mastromatteo
Capital Fund Management
Verified email at cfm.fr - Homepage
Title
Cited by
Cited by
Year
Hawkes processes in finance
E Bacry, I Mastromatteo, JF Muzy
Market Microstructure and Liquidity 1 (01), 1550005, 2015
5782015
A fully consistent, minimal model for non-linear market impact
J Donier, J Bonart, I Mastromatteo, JP Bouchaud
Quantitative finance 15 (7), 1109-1121, 2015
1172015
Uncovering causality from multivariate Hawkes integrated cumulants
M Achab, E Bacry, S Ga´ffas, I Mastromatteo, JF Muzy
Journal of Machine Learning Research 18 (192), 1-28, 2018
972018
On the criticality of inferred models
I Mastromatteo, M Marsili
Journal of Statistical Mechanics: Theory and Experiment 2011 (10), P10012, 2011
952011
Agent-based models for latent liquidity and concave price impact
I Mastromatteo, B Toth, JP Bouchaud
Physical Review E 89 (4), 042805, 2014
902014
Reconstruction of financial network for robust estimation of systemic risk
I Mastromatteo, E Zarinelli, M Marsili
J. Stat. Mech. 2012 (P03011), 2012
852012
On sampling and modeling complex systems
M Marsili, I Mastromatteo, Y Roudi
J. Stat. Mech. 2013 (P09003), 2013
792013
Dissecting cross-impact on stock markets: An empirical analysis
M Benzaquen, I Mastromatteo, Z Eisler, JP Bouchaud
Journal of Statistical Mechanics: Theory and Experiment 2017 (2), 023406, 2017
662017
Anomalous impact in reaction-diffusion financial models
I Mastromatteo, B Toth, JP Bouchaud
Physical review letters 113 (26), 268701, 2014
412014
Co-impact: Crowding effects in institutional trading activity
F Bucci, I Mastromatteo, Z Eisler, F Lillo, JP Bouchaud, CA Lehalle
Quantitative Finance 20 (2), 193-205, 2020
292020
Trading lightly: Cross-impact and optimal portfolio execution
I Mastromatteo, M Benzaquen, Z Eisler, JP Bouchaud
arXiv preprint arXiv:1702.03838, 2017
262017
How to build a cross-impact model from first principles: Theoretical requirements and empirical results
M Tomas, I Mastromatteo, M Benzaquen
Quantitative Finance 22 (6), 1017-1036, 2022
192022
Mean-field inference of Hawkes point processes
E Bacry, S Ga´ffas, I Mastromatteo, JF Muzy
Journal of Physics A: Mathematical and Theoretical 49 (17), 174006, 2016
192016
Financial correlations at ultra-high frequency: theoretical models and empirical estimation
I Mastromatteo, M Marsili, P Zoi
The European Physical Journal B 80, 243-253, 2011
182011
The multivariate Kyle model: More is different
LC Garcia del Molino, I Mastromatteo, M Benzaquen, JP Bouchaud
SIAM Journal on Financial Mathematics 11 (2), 327-357, 2020
162020
Higgsino dark matter in partly supersymmetric models
M Masip, I Mastromatteo
Physical Review D 73 (1), 015007, 2006
132006
Impact of meta-order in the Minority Game
AC Barato, I Mastromatteo, M Bardoscia, M Marsili
Quantitative Finance 13 (9), 1343-1352, 2011
122011
Cosmic ray knee and diffuse γ, e+ and fluxes from collisions of cosmic rays with dark matter
M Masip, I Mastromatteo
Journal of Cosmology and Astroparticle Physics 2008, 003, 2008
112008
Hawking evaporation of cosmogenic black holes in TeV-gravity models
P Draggiotis, M Masip, I Mastromatteo
Journal of Cosmology and Astroparticle Physics 2008 (07), 014, 2008
112008
A stationary kyle setup: microfounding propagator models
M Vodret, I Mastromatteo, B Tˇth, M Benzaquen
Journal of Statistical Mechanics: Theory and Experiment 2021 (3), 033410, 2021
92021
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