Concepedia

Iacopo Mastromatteo

IM

11

Publications

866

Citations

10

H-Index

2006

Active since

Affiliations

Centre National de la Recherche Scientifique(Current)

Capital Fund Management (France)

École Polytechnique

Centre de Mathématiques Appliquées de l'École polytechnique

Sciences pour l'Environnement

Iacopo Mastromatteo is an author at Centre National de la Recherche Scientifique specializing in financial crisis, financial engineering, and financial modeling.

Top concepts

Publications per year

2006–2020

11

Publications

11

Hawkes Processes in Finance

Emmanuel Bacry, Iacopo Mastromatteo, Jean–François Muzy · Market Microstructure and Liquidity · 2015 · 396 citations

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A fully consistent, minimal model for non-linear market impact

Jonathan Donier, Julius Bonart, Iacopo Mastromatteo et al. · Quantitative Finance · 2015 · 108 citations

Agent-based models for latent liquidity and concave price impact

Iacopo Mastromatteo, Bence Tóth, Jean‐Philippe Bouchaud · Physical Review E · 2014 · 81 citations · Full text

Reconstruction of financial networks for robust estimation of systemic risk

Iacopo Mastromatteo, Elia Zarinelli, Matteo Marsili · Journal of Statistical Mechanics Theory and Experiment · 2012 · 74 citations

, , +19

Dissecting cross-impact on stock markets: an empirical analysis

Michael Benzaquen, Iacopo Mastromatteo, Zoltán Eisler et al. · Journal of Statistical Mechanics Theory and Experiment · 2017 · 64 citations · Full text

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