128 citations · 137 across the 4 of their papers we have counts for
5 papers
Microfounding GARCH Models and Beyond: A Kyle-inspired Model with Adaptive Agents
Michele Vodret, Iacopo Mastromatteo, Bence Toth +1
We relax the strong rationality assumption for the agents in the paradigmatic Kyle model of price formation, thereby reconciling the framework of asymmetrically informed traders wi…
Size effects in micro and nanoscale materials fracture
Alessandro Taloni, Michele Vodret, Giulio Costantini +1
Micro and nanoscale materials have remarkable mechanical properties, such as enhanced strength and toughness, but usually display sample-to-sample fluctuations and non-trivial size…
Do fundamentals shape the price response? A critical assessment of linear impact models
Michele Vodret, Iacopo Mastromatteo, Bence Tóth +1
We compare the predictions of the stationary Kyle model, a microfounded multi-step linear price impact model in which market prices forecast fundamentals through information encode…
Universal amplitudes ratios for critical aging via functional renormalization group
Michele Vodret, Alessio Chiocchetta, Andrea Gambassi
We discuss how to calculate non-equilibrium universal amplitude ratios in the functional renormalization group approach, extending its applicability. In particular, we focus on the…
A Stationary Kyle Setup: Microfounding propagator models
Michele Vodret, Iacopo Mastromatteo, Bence Tóth +1
We provide an economically sound micro-foundation to linear price impact models, by deriving them as the equilibrium of a suitable agent-based system. Our setup generalizes the wel…