Market microstructure
Order books, price impact, liquidity and execution.
2 items · All topics
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On Bonart's interpretation of the Square-Root Impact Law
The diffusivity argument for square-root impact holds only if markets whiten each trader's metaorder flow; otherwise impact grows faster.
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Can diffusion models generate market data?
Jane Street finds flow matching stable where earlier diffusion training failed, but multi-step rollouts still drift.