Cover Image

Mean-field theory of the Santa Fe model revisited: a systematic derivation from an exact BBGKY hierarchy for the zero-intelligence limit-order book model

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Wakatsuki, Taiki, Kanazawa, Kiyoshi
Format:	Preprint
Published:	2025
Subjects:	Trading and Market Microstructure Statistical Mechanics Computational Finance General Finance Mathematical Finance
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Correlation emergence in two coupled simulated limit order books
by: Bauer, Dominic, et al.
Published: (2024)

Exact solution to a generalised Lillo-Mike-Farmer model with heterogeneous order-splitting strategies
by: Sato, Yuki, et al.
Published: (2023)

Price predictability in limit order book with deep learning model
by: Lee, Kyungsub
Published: (2024)

Simulating and analyzing a sparse order book: an application to intraday electricity markets
by: Bergault, Philippe, et al.
Published: (2024)

Generation of synthetic financial time series by diffusion models
by: Takahashi, Tomonori, et al.
Published: (2024)

Equity auction dynamics: latent liquidity models with activity acceleration
by: Salek, Mohammed, et al.
Published: (2024)

First-passage horizons in horizontal visibility graphs: a rank-invariant estimator of path roughness for rough volatility models
by: Sikorski, Michał
Published: (2025)

Is an investor stolen their profits by mimic investors? Investigated by an agent-based model
by: Mizuta, Takanobu, et al.
Published: (2026)

Multi-kernel property in high-frequency price dynamics under Hawkes model
by: Lee, Kyungsub
Published: (2023)

High-frequency financial market simulation and flash crash scenarios analysis: an agent-based modelling approach
by: Gao, Kang, et al.
Published: (2022)

Generalized Mean Absolute Directional Loss as a Solution to Overfitting and High Transaction Costs in Machine Learning Models Used in High-Frequency Algorithmic Investment Strategies
by: Michańków, Jakub, et al.
Published: (2024)

Intraday order transition dynamics in high, medium, and low market cap stocks: A Markov chain approach
by: Luwang, S. R., et al.
Published: (2025)

Reinforcement Learning for Trade Execution with Market and Limit Orders
by: Cheridito, Patrick, et al.
Published: (2025)

A Validated Volatility-Volume-Gap Classifier for Regime Identification in MNQ Intraday Data
by: Mesfin, Mathias
Published: (2026)

Equilibrium Liquidity and Risk Offsetting in Decentralised Markets
by: Drissi, Fayçal, et al.
Published: (2025)

Scalable Agent-Based Modeling for Complex Financial Market Simulations
by: Wheeler, Aaron, et al.
Published: (2023)

Forecasting Volatility with Machine Learning and Rough Volatility: Example from the Crypto-Winter
by: Tang, Siu Hin, et al.
Published: (2023)

BioFinBERT: Finetuning Large Language Models (LLMs) to Analyze Sentiment of Press Releases and Financial Text Around Inflection Points of Biotech Stocks
by: Aparicio, Valentina, et al.
Published: (2024)

RED-2400: A Public Benchmark of Algorithmically-Rejected Trading Events with Outcome Labels
by: Kamat, Arati U.
Published: (2026)

Hybrid Vector Auto Regression and Neural Network Model for Order Flow Imbalance Prediction in High Frequency Trading
by: Rahman, Abdul, et al.
Published: (2024)

A Microstructure Analysis of Coupling in CFMMs
by: Sterrett, Althea, et al.
Published: (2025)

Explainable Patterns in Cryptocurrency Microstructure
by: Bieganowski, Bartosz, et al.
Published: (2026)

The Negative Drift of a Limit Order Fill
by: DeLise, Timothy
Published: (2024)

Automated Market Makers: A Stochastic Optimization Approach for Profitable Liquidity Concentration
by: Zeller, Simon Caspar, et al.
Published: (2025)

Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures
by: Hu, Chen, et al.
Published: (2025)

Structural Limits of OHLCV-Based Intraday Signals in MNQ Futures: A Systematic Falsification Study
by: Mesfin, Mathias
Published: (2026)

How low-cost AI universal approximators reshape market efficiency
by: Barucca, Paolo, et al.
Published: (2025)

Multi-dimensional queue-reactive model and signal-driven models: a unified framework
by: Sfendourakis, Emmanouil
Published: (2025)

FLUXLAYER: High-Performance Design for Cross-chain Fragmented Liquidity
by: Lao, Xin, et al.
Published: (2025)

Macroscopic Market Making
by: Guo, Ivan, et al.
Published: (2023)

Equity Premium Prediction: Taking into Account the Role of Long, even Asymmetric, Swings in Stock Market Behavior
by: Un, Kuok Sin, et al.
Published: (2025)

An Impulse Control Approach to Market Making in a Hawkes LOB Market
by: Jain, Konark, et al.
Published: (2025)

Neural Hidden Markov Model with Adaptive Granularity Attention for High-Frequency Order Flow Modeling
by: Hu, Tianzuo
Published: (2026)

Empirical Evaluation of Deadline-Resolved Information Leakage on Documented Polymarket Insider Cases
by: Nechepurenko, Maksym
Published: (2026)

Liquidity provision in CLMMs: evidence from transactions data
by: Urusov, Andrey, et al.
Published: (2026)

A Volume-Price-Adjusted MACD Trading Strategy with Sensitivity Calibration for U.S. Equity Indices
by: Lin, Luyun, et al.
Published: (2026)

Continuous-time Equilibrium Returns in Markets with Price Impact and Transaction Costs
by: Anthropelos, Michail, et al.
Published: (2024)

Chronologically Consistent Large Language Models
by: He, Songrun, et al.
Published: (2025)

Optimal Exit Time for Liquidity Providers in Automated Market Makers
by: Bergault, Philippe, et al.
Published: (2025)

Riding Wavelets: A Method to Discover New Classes of Price Jumps
by: Aubrun, Cecilia, et al.
Published: (2024)