128 citations · 137 across the 4 of their papers we have counts for
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q-fin.TR2021★ 1 cited
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…
cond-mat.stat-mech2021★ 1 cited
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…