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Mihai Cucuringu

Affiliation

Mathematical Institute and Department of Statistics, University of Oxford. Oxford-Man Institute of Quantitative Finance. The Alan Turing Institute (London).

Key contributions

  • Cross-impact of OFI in equity markets — co-author on the canonical paper showing that contemporaneous cross-impact vanishes under multi-level OFI aggregation, but predictive cross-impact survives at short horizons (cross-impact-ofi-equity-markets).
  • Spectral methods on financial networks — broader research on clustering, ranking, and community detection via spectral techniques, with applications to equity lead-lag and sector structure.

Notable papers (in this wiki)

Connections

  • rama-cont — collaborator on the cross-impact OFI paper.
  • cross-impact — central subject of his contribution to this wiki.
  • order-flow-imbalance — the feature whose cross-asset structure his work analyses.