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cond-mat.stat-mech2020
Information thermodynamics of financial markets: the Glosten-Milgrom model
Léo Touzo, Matteo Marsili, Don Zagier
The Glosten-Milgrom model describes a single asset market, where informed traders interact with a market maker, in the presence of noise traders. We derive an analogy between this…
cond-mat.stat-mech2020★ 7 cited
Optimal Work Extraction and the Minimum Description Length Principle
Léo Touzo, Matteo Marsili, Neri Merhav +1
We discuss work extraction from classical information engines (e.g., Szilárd) with -particles, partitions, and initial arbitrary non-equilibrium states. In particular, we fo…