2 papers
cs.AI2024
Bayesian Inference of Minimally Complex Models with Interactions of Arbitrary Order
Clélia de Mulatier, Matteo Marsili
Finding the model that best describes a high-dimensional dataset is a daunting task, even more so if one aims to consider all possible high-order patterns of the data, going beyond…
q-fin.TR2024
A Bayesian theory of market impact
Louis Saddier, Matteo Marsili
The available liquidity at any time in financial markets falls largely short of the typical size of the orders that institutional investors would trade. In order to reduce the impa…