Mehdi Tomas

Ecole Polytechnique

Route de Saclay

Palaiseau, 91128

France

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 16,229

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Top 16,229

in Total Papers Downloads

3,773

SSRN CITATIONS
Rank 30,894

SSRN RANKINGS

Top 30,894

in Total Papers Citations

19

CROSSREF CITATIONS

9

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 3,274 (4,224)
Citation 29

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 Ecole Polytechnique, Palaiseau
Downloads 259 (145,590)
Citation 3

Abstract:

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3.

Cross Impact in Derivative Markets

Number of pages: 17 Posted: 18 Feb 2021
Ecole Polytechnique, Capital Fund Management and Ecole Polytechnique, Palaiseau
Downloads 134 (261,449)

Abstract:

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4.

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 106 (309,563)

Abstract:

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