Exact conditional simulation of Point processes: Application to pathwise market impact estimation

By Joseph Leclère, Youssef Ouazzani Chahdi, Mathieu Rosenbaum, Grégoire Szymanski

Published 2026-07-07

Everscope rating

2016.7

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Exact Conditional Simulation via Poisson Thinning. Problem types: Algorithmic Execution, Market Impact Estimation, Causal Inference (Counterfactual Reconstruction), Generative Modeling (Conditional Path Simulation), Risk Management, Post-Trade Analysis.

arXiv:2607.03239 · Code · Paper rankings

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