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A Stationary Kyle Setup: Microfounding propagator models. (2020). , Bence ; Mastromatteo, Iacopo ; Vodret, Michele ; Benzaquen, Michael.
In: Papers.
RePEc:arx:papers:2011.10242.

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Cited: 4

Citations received by this document

Cites: 24

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Cocites: 50

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Coauthors: 0

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Citations

Citations received by this document

  1. Microfounding GARCH models and beyond: a Kyle-inspired model with adaptive agents. (2023). Benzaquen, Michael ; Toth, Bence ; Mastromatteo, Iacopo ; Vodret, Michele.
    In: Journal of Economic Interaction and Coordination.
    RePEc:spr:jeicoo:v:18:y:2023:i:3:d:10.1007_s11403-023-00379-8.

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  2. Do fundamentals shape the price response? A critical assessment of linear impact models. (2022). Benzaquen, Michael ; Mastromatteo, Iacopo ; Toth, Bence ; Vodret, Michele.
    In: Post-Print.
    RePEc:hal:journl:hal-03797375.

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  3. Transient impact from the Nash equilibrium of a permanent market impact game. (2022). Lillo, Fabrizio ; Cordoni, Francesco.
    In: Papers.
    RePEc:arx:papers:2205.00494.

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  4. Do fundamentals shape the price response? A critical assessment of linear impact models. (2021). Benzaquen, Michael ; Mastromatteo, Iacopo ; Vodret, Michele.
    In: Papers.
    RePEc:arx:papers:2112.04245.

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References

References cited by this document

  1. Albert S Kyle. Continuous auctions and insider trading. Econometrica: Journal of the Econometric Society, pages 1315–1335, 1985.

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  5. Bence Tóth, Yves Lemperiere, Cyril Deremble, Joachim Lataillade, Julien Kockelkoren, and JeanPhilippe Bouchaud. Anomalous price impact and the critical nature of liquidity in financial markets. Physical Review X, 1, 05 2011.

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  7. Cheng Li and Hao Xing. Asymptotic glosten–milgrom equilibrium. SSRN Electronic Journal, 6, 10 2013.
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  8. D. Bernhardt, P . Seiler, and B. Taub. Speculative dynamics. Economic theory., 44(1):1–52, July 2010.

  9. Damian Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud, Fabrizio Lillo, and Bence Tóth. Linear models for the impact of order flow on prices i. propagators: Transient vs. history dependent impact. SSRN Electronic Journal, 02 2016.

  10. Eric Benhamou. Kalman filter demystified: From intuition to probabilistic graphical model to real case in financial markets. SSRN Electronic Journal, 01 2018.

  11. Jean-Philippe Bouchaud, J Doyne Farmer, and Fabrizio Lillo. How markets slowly digest changes in supply and demand. Elsevier: Academic Press, 2008.

  12. Jean-Philippe Bouchaud, Julius Bonart, Jonathan Donier, and Martin Gould. Trades, quotes and prices: financial markets under the microscope. Cambridge University Press, 2018.
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  13. Jean-Philippe Bouchaud, Yuval Gefen, Marc Potters, and Matthieu Wyart. Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes. 07 2003.

  14. Jean-Philippe Bouchaud. Economics need a scientific revolution. Nature, 455:1181, 11 2008.

  15. Jonathan Donier, Julius Bonart, Iacopo Mastromatteo, and Jean-Philippe Bouchaud. A fully consistent, minimal model for non-linear market impact. Quantitative Finance, 15, 11 2014.
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  16. Kevin P . Murphy. Machine Learning: A Probabilistic Perspective. The MIT press, 2012.
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  17. Kyung-Ha Cho. Continuous auctions and insider trading: Uniqueness and risk aversion. Finance and Stochastics, 7:47–71, 01 2003.
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  18. Lorenzo Dall’Amico, Antoine Fosset, Jean-Philippe Bouchaud, and Michael Benzaquen. How does latent liquidity get revealed in the limit order book? Journal of Statistical Mechanics: Theory and Experiment, 2019(1):013404, 2019.

  19. Lukas Hewing, Kim P . Wabersich, Marcel Menner, and Melanie N. Zeilinger. Learning-based model predictive control: Toward safe learning in control. Annual Review of Control, Robotics, and Autonomous Systems, 3(1):269–296, 2020.
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  20. M Benzaquen, I Mastromatteo, Z Eisler, and J-P Bouchaud. Dissecting cross-impact on stock markets: an empirical analysis. Journal of Statistical Mechanics: Theory and Experiment, 2017(2): 023406, feb 2017.
    Paper not yet in RePEc: Add citation now
  21. Maureen O’Hara. Market Microstructure Theory. Blackwell Publishing Ltd, 1998.
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  22. Robert Shiller. Do stock prices move too much to be justified by subsequent changes in dividends? American Economic Review, 71:421–36, 01 1981.

  23. Umut Çetin and Albina Danilova. Markovian nash equilibrium in financial markets with asymmetric information and related forward-backward systems. The Annals of Applied Probability, 07 2014.
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  24. Umut Çetin. Financial equilibrium with asymmetric information and random horizon. Finance and Stochastics, 22(1):97–126, January 2018.

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  2. How is Macro News Transmitted to Exchange Rates?. (2003). Lyons, Richard ; Evans, Martin.
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  5. Do Bid-Ask Spreads Or Bid and Ask Depths Convey New Information First?. (2002). Chakravarty, Sugato ; Frederick H. deB. Harris, ; Wood, Robert A. ; Frederick H. deB. Harris, .
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