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Do fundamentals shape the price response? A critical assessment of linear impact models

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  • Michele Vodret
  • Iacopo Mastromatteo
  • Bence Tóth
  • Michael Benzaquen

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  • Michele Vodret & Iacopo Mastromatteo & Bence Tóth & Michael Benzaquen, 2022. "Do fundamentals shape the price response? A critical assessment of linear impact models," Quantitative Finance, Taylor & Francis Journals, vol. 22(12), pages 2139-2150, December.
    • Handle: RePEc:taf:quantf:v:22:y:2022:i:12:p:2139-2150
    DOI: 10.1080/14697688.2022.2114376
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    Cited by:

    1. Michele Vodret & Iacopo Mastromatteo & Bence Tóth & Michael Benzaquen, 2023. "Microfounding GARCH models and beyond: a Kyle-inspired model with adaptive agents," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 18(3), pages 599-625, July.
    2. Eyal Neuman & Yufei Zhang, 2023. "Statistical Learning with Sublinear Regret of Propagator Models," Papers 2301.05157, arXiv.org.

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