Zobrazeno 1 - 10
of 93
pro vyhledávání: '"Toth, Bence"'
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 with the Adaptive Market Hypothesis, where agents use inductive rather t
Externí odkaz:
http://arxiv.org/abs/2206.06764
We compare the predictions of the stationary Kyle model, a microfounded multi-step linear price impact model in which market prices forecast fundamentals through information encoded in the order flow, with those of the propagator model, a purely data
Externí odkaz:
http://arxiv.org/abs/2112.04245
Autor:
Kakuk, Melinda, Alexandra Mészáros, Lilla, Farkas, Dóra, Tonka-Nagy, Péter, Tóth, Bence, Nagy, Zsombor Kristóf, Antal, István, Kállai-Szabó, Nikolett
Publikováno v:
In European Journal of Pharmaceutics and Biopharmaceutics November 2024 204
We provide an economically sound micro-foundation to linear price impact models, by deriving them as the equilibrium of a suitable agent-based system. Our setup generalizes the well-known Kyle model, by dropping the assumption of a terminal time at w
Externí odkaz:
http://arxiv.org/abs/2011.10242
Autor:
Volpati, Valerio, Benzaquen, Michael, Eisler, Zoltan, Mastromatteo, Iacopo, Toth, Bence, Bouchaud, Jean-Philippe
Crowding is most likely an important factor in the deterioration of strategy performance, the increase of trading costs and the development of systemic risk. We study the imprints of \emph{crowding} on both anonymous market data and a large database
Externí odkaz:
http://arxiv.org/abs/2001.04185
Akademický článek
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Autor:
Tóth, Krisztina, Fekete, Nóra, Klaudia Simon, Vivien, Tóth, Bence, Ferenc Kovács, Árpád, Pállinger, Éva, Antal, István, Kőhidai, László, Jedlovszky-Hajdú, Angéla, Juriga, Dávid, Nagy, Krisztina S.
Publikováno v:
In Journal of Molecular Liquids 1 July 2023 381
Autor:
Kolonits, Tamás, Jenei, Péter, Tóth, Bence G., Czigány, Zsolt, Gubicza, Jenő, Péter, László, Bakonyi, Imre
Publikováno v:
Journal of the Electrochemical Society 163 (3), D107-D114 (2016)
The microstructure of electrodeposited Ni films produced without and with organic additives (saccharin and formic acid) was investigated by X-ray diffraction (XRD) line profile analysis and cross-sectional transmission electron microscopy (TEM). Wher
Externí odkaz:
http://arxiv.org/abs/1703.05191
We analyze a proprietary dataset of trades by a single asset manager, comparing their price impact with that of the trades of the rest of the market. In the context of a linear propagator model we find no significant difference between the two, sugge
Externí odkaz:
http://arxiv.org/abs/1702.08029
Autor:
Niemann, Anna Corinna, Böhnert, Tim, Michel, Ann-Kathrin, Bäßler, Svenja, Gotsmann, Bernd, Neuróhr, Katalin, Tóth, Bence, Péter, László, Bakonyi, Imre, Vega, Victor, Prida, Victor M., Gooth, Johannes, Nielsch, Kornelius
Publikováno v:
Advanced Electronic Materials 2 (9), Paper 1600058. (2016)
Thermoelectric (TE) measurements have been performed on the workhorses of today's data storage devices, exhibiting either the giant or the anisotropic magnetoresistance effect (GMR and AMR). The temperature-dependent (50-300 K) and magnetic field-dep
Externí odkaz:
http://arxiv.org/abs/1701.00404