activity
20052026
most citedAnomalous price impact and the critical nature of liquidity in financial markets

186 citations · 635 across the 15 of their papers we have counts for

collaborators
Showing 2022Show all

1 paper · 1 filter

q-fin.TR2022

Microfounding GARCH Models and Beyond: A Kyle-inspired Model with Adaptive Agents

Michele Vodret, Iacopo Mastromatteo, Bence Toth +1

We relax the strong rationality assumption for the agents in the paradigmatic Kyle model of price formation, thereby reconciling the framework of asymmetrically informed traders wi…