89 citations · 362 across the 27 of their papers we have counts for
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q-fin.TR2013★ 89 cited
Agent-based models for latent liquidity and concave price impact
Iacopo Mastromatteo, Bence Toth, Jean-Philippe Bouchaud
We revisit the "epsilon-intelligence" model of Toth et al.(2011), that was proposed as a minimal framework to understand the square-root dependence of the impact of meta-orders on…
cond-mat.stat-mech2013★ 2 cited
On the typical properties of inverse problems in statistical mechanics
Iacopo Mastromatteo
In this work we consider the problem of extracting a set of interaction parameters from an high-dimensional dataset describing T independent configurations of a complex system comp…