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q-fin.TR2026
Mean-field equilibrium of heterogeneous agents under market impact
Joseph Leclère, Mathieu Rosenbaum
Although market participants generally have access to a common information set, they make decisions based on forecasts formed over heterogeneous horizons. Because market impact dep…
q-fin.TR2026
Exact conditional simulation of Point processes: Application to pathwise market impact estimation
Joseph Leclère, Youssef Ouazzani Chahdi, Mathieu Rosenbaum +1
Market impact is defined as the difference between the observed price trajectory under a given execution strategy and the counterfactual trajectory that would have prevailed withou…
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…