A unified theory of order flow, market impact, and volatility

Fuente: arXiv

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Bibliographic Details
Main Authors:	Muhle-Karbe, Johannes, Chahdi, Youssef Ouazzani, Rosenbaum, Mathieu, Szymanski, Grégoire
Format:	Preprint
Published:	2026
Subjects:	Statistical Finance Probability Mathematical Finance Trading and Market Microstructure Applications 60F05, 60G22, 60G55, 62P05, 91G15, 91G80
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2601.23172