Convex Modeling of Price Cross-Impact over Time

By Vincent Yinjun-Wang, Madeleine Udell

Published 2026-09-04

Everscope rating

1974.4

Relevance to quantitative trading

9 / 10

Implementation complexity

6 / 10

Reproducibility

3 / 5

About this paper

Methodology: Convex Quadratic Cross-Impact Model with Power-Law Decay Kernel. Problem types: Portfolio Optimization, Algorithmic Execution, Risk Management, Pairs Trading, Optimization.

arXiv:2609.04712 · Paper rankings

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