Cross-Impact in Trading: How One Order Moves Another

An index future ticks higher on a burst of buying. A beat later, the best offer on one of its larger constituents lifts by a couple of cents, and the…

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Tail Dependence: Why Diversified Assets Crash Together

A few years back I held six positions spread across different sectors, the kind of book that looks diversified on paper. On the three worst sessions of that stretch, all…

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