Article published by Risk.net, December 2017
Jean-Philippe Bouchaud, head of research at CFM and an influential figure in price impact research, wins this year’s buy-side quant of the year award 2018 for shining a light on cross-impact.
“Even if individual assets are only slightly affected, globally you are going to have a significant impact,” says Bouchaud. “And the fact that it is small on a given pair means it is hard to measure. It’s very noisy.”