Zoltán Eisler

Affiliation

Quantitative researcher at Capital Fund Management (CFM), Paris.

Key contributions

• Event-type impact decomposition — principal author (with Bouchaud and Kockelkoren) on the two canonical papers extending the propagator model to the full six-event-type order-book stream. See event-type-impact-decomposition.
• Dissecting cross-impact — with Benzaquen, Mastromatteo, Bouchaud, empirical decomposition of multi-asset price impact. Anchor reference for the cross-impact literature.
• Stochastic modelling of order-book dynamics — part of the CFM research group on microstructure, propagators, and meta-order impact.

Notable papers (in this wiki)

• eisler-bouchaud-kockelkoren-order-book-events — "The Price Impact of Order Book Events: Market Orders, Limit Orders and Cancellations" (with Bouchaud, Kockelkoren, 2009/2012).
• models-for-all-order-book-events — "Models for the Impact of All Order Book Events" (with Bouchaud, Kockelkoren, 2011).

Connections

• jean-philippe-bouchaud — frequent collaborator at CFM.
• event-type-impact-decomposition — the decomposition framework carries his name (EBK).
• price-impact — Eisler's contributions focus on the LOB-event resolution of the impact question.