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Iacopo Mastromatteo · Director - Head of Directional Portfolio Construction Research · View mutual connections with Iacopo · Welcome back · Activity.
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.
Iacopo Mastromatteo

Iacopo Mastromatteo

Research interests: Statistical finance, Statistical mechanics, and Large-dimensional inference
Jan 10, 2024 · Iacopo Mastromatteo is the head of directional portfolio construction research at the same company. Follow Iacopo.
Sep 27, 2023 · List of computer science publications by Iacopo Mastromatteo.
We use an agnostic information-theoretic approach to investigate the statistical properties of natural images. We introduce the Multiscale Relevance (MSR) ...
Iacopo Mastromatteo · Article. Uncovering causality from multivariate Hawkes integrated cumulants · Massil Achab. Ecole Polytechnique, Palaiseau, France. , ...
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We provide an economically sound micro-foundation to linear price impact models, by deriving them as the equilibrium of a suitable agent-based system.
Possible focus: □ Technical problem (how can I extract probability ?) □ First principles (what can I learn about data by doing inference?
Iacopo Mastromatteo, based in Paris, FR, is currently a Executive Director - Head of Directional Portfolio Construction at Capital Fund Management (CFM), ...