2 papers
q-fin.TR2026
Bridging the Reality Gap in Limit Order Book Simulation
Patrick Noble, Mathieu Rosenbaum, Saad Souilmi
We introduce a practical, interactive simulator of the limit order book for large-tick assets, designed to produce realistic execution, costs, and P&L. The book state is projected…
q-fin.ST2026
A unified theory of order flow, market impact, and volatility
Johannes Muhle-Karbe, Youssef Ouazzani Chahdi, Mathieu Rosenbaum +1
We propose a microstructural model for the order flow in financial markets that distinguishes between {\it core orders} and {\it reaction flow}, both modeled as Hawkes processes. T…