Before revision: Cross-impact, namely the fact that on average buy (sell) trades on a financial instrument induce positive (negative) price changes in other correlated assets, can be measured from abundant, although noisy, market data .
After revision: Cross-impact, namely the fact that on average buy (sell) trades on a financial instrument induces a price response on itself and on other correlated instruments, a phenomenon known as cross-impact. Unfortunately, empirical measures of cross-impact are affected by a large estimation error due to both the large number of interactions to infer and the strongly fluctuating nature of price returns .