Parade was Picasso's first collaboration with the Ballets Russes and in a letter sent to a friend, Jean Cocteau the librettist said "Picasso amazes me every day, to live near him is a lesson in nobility and hard work" (Rothschild 49). Picasso's studio in Rome had a little crate that held the model of "Parade" with its trees and houses, and on a table were the painted characters: the Chinaman, Managers, American girl, and horse. Cocteau described his friend's unusual artistic process: "A badly drawn figure of Picasso is the result of endless well-drawn figures he erases, corrects, covers over, and which serves him as a foundation. In opposition to all schools he seems to end his work with a sketch." The audiences were amazed by the first ballet to have cubist costumes, sets, and choreography. After World War I, Picasso made a number of important associations and relationships with figures associated with Serge Diaghilev's Ballets Russes. Among his friends during this period were Jean Cocteau, Jean Hugo, Juan Gris and others.
In the summer of 1918, Picasso married Olga Khokhlova, a ballerina with Sergei Diaghilev’s troupe, for whom Picasso was designing a ballet, Parade, in Rome; and they spent their honeymoon in the villa near Biarritz of the glamorous Chilean art patron Eugenia Errázuriz. Khokhlova introduced Picasso to high society, formal dinner parties, and all the social niceties attendant on the life of the rich in 1920s Paris. The two had a son, Paulo, who would grow up to be a dissolute motorcycle racer and chauffeur to his father. Khokhlova’s insistence on social propriety clashed with Picasso’s bohemian tendencies and the two lived in a state of constant conflict. During the same period that Picasso collaborated with Diaghilev’s troup, he and Igor Stravinsky collaborated on Pulcinella in 1920.