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

By Johannes Muhle-Karbe, Youssef Ouazzani Chahdi, Mathieu Rosenbaum, Grégoire Szymanski

Published 2026-02-03

Everscope rating

1966.2

Relevance to quantitative trading

9 / 10

Implementation complexity

9 / 10

Reproducibility

3 / 5

About this paper

Methodology: Two-layer Hawkes process model with scaling limits. Problem types: Market Making, Algorithmic Execution, Risk Management, Density Estimation.

arXiv:2601.23172 · Paper rankings

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