Iacopo Mastromatteo

Capital Fund Management

Research Associate

France

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 25,558

SSRN RANKINGS

Top 25,558

in Total Papers Downloads

2,579

SSRN CITATIONS
Rank 16,496

SSRN RANKINGS

Top 16,496

in Total Papers Citations

48

CROSSREF CITATIONS

19

Scholarly Papers (12)

1.

Zooming In on Equity Factor Crowding

Number of pages: 7 Posted: 05 Feb 2020
Capital Fund Management, Capital Fund ManagementEcole Polytechnique, Palaiseau, Capital Fund Management, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 1,045 (27,622)
Citation 1

Abstract:

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2.

A Fully Consistent, Minimal Model for Non-Linear Market Impact

Number of pages: 17 Posted: 30 Nov 2014 Last Revised: 02 Dec 2014
Université Paris VI Pierre et Marie Curie, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 346 (113,141)
Citation 21

Abstract:

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market microstructure, price formation, market impact, reaction-diffusion, limit order book, non-arbitrage

3.

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, Michael Benzaquen and Michael Benzaquen
Ecole Polytechnique, Capital Fund Management and Capital Fund ManagementEcole Polytechnique, Palaiseau
Downloads 292 (135,837)
Citation 3

Abstract:

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4.

Trading Lightly: Cross-Impact and Optimal Portfolio Execution

Number of pages: 7 Posted: 10 Apr 2017
Capital Fund Management, Capital Fund ManagementEcole Polytechnique, Palaiseau, Capital Fund Management and Capital Fund Management
Downloads 197 (199,234)
Citation 9

Abstract:

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5.

Cross Impact in Derivative Markets

Number of pages: 17 Posted: 18 Feb 2021
Mehdi Tomas, Iacopo Mastromatteo, Michael Benzaquen and Michael Benzaquen
Ecole Polytechnique, Capital Fund Management and Capital Fund ManagementEcole Polytechnique, Palaiseau
Downloads 175 (221,128)

Abstract:

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6.

Dissecting Cross-Impact on Stock Markets: An Empirical Analysis

Number of pages: 22 Posted: 10 Sep 2016 Last Revised: 03 Nov 2016
Capital Fund ManagementEcole Polytechnique, Palaiseau, Capital Fund Management, Capital Fund Management and Capital Fund Management
Downloads 140 (265,947)
Citation 12

Abstract:

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Market impact

7.

Co-Impact: Crowding Effects in Institutional Trading Activity

Number of pages: 29 Posted: 10 May 2018
Scuola Normale Superiore, Capital Fund Management, Capital Fund Management, Università di Bologna, Capital Fund Management and Capital Fund Management
Downloads 102 (334,010)
Citation 8

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8.

Impact Is Not Just Volatility

Number of pages: 5 Posted: 03 Jun 2019
Scuola Normale Superiore, Capital Fund Management, Capital Fund ManagementEcole Polytechnique, Palaiseau and Capital Fund Management
Downloads 90 (361,938)

Abstract:

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9.

Reconstruction of Financial Networks for Robust Estimation of Systemic Risk

Number of pages: 13 Posted: 28 Sep 2011
Matteo Marsili, Iacopo Mastromatteo and Elia Zarinelli
Abdus Salam International Centre for Theoretical Physics (ICTP), Capital Fund Management and LIST S.p.A.
Downloads 82 (383,035)
Citation 3

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network reconstruction, systemic risk, financial stability, stress test

10.

The Multivariate Kyle Model: More is Different

Number of pages: 30 Posted: 08 Jul 2018 Last Revised: 19 Dec 2018
Capital Fund Management, Capital Fund Management, Capital Fund ManagementEcole Polytechnique, Palaiseau and Capital Fund Management
Downloads 46 (509,302)
Citation 5

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11.

A Stationary Kyle Setup: Microfounding Propagator Models

Number of pages: 25 Posted: 05 Jan 2021
Ecole Polytechnique, Palaiseau, Capital Fund Management, Capital Fund Management and Capital Fund ManagementEcole Polytechnique, Palaiseau
Downloads 35 (563,015)

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12.

Do fundamentals shape the price response? A critical assessment of linear impact models

Number of pages: 20 Posted: 14 Dec 2021
Ecole Polytechnique, Palaiseau, Capital Fund Management, Capital Fund Management and Capital Fund ManagementEcole Polytechnique, Palaiseau
Downloads 29 (596,869)

Abstract:

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Market microstructure, price impact, calibration, multi-scale analysis.