Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets | Paper Citation Record

Observation 225966e8-b4af-447b-ab73-7c403b8129f4 · outbound

This paper cites A continuous and efficient fundamental price on the discrete order book grid.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets A continuous and efficient fundamental price on the discrete order book grid

Reference 1

Resolution: unresolved; no resolver link, observed 2026-08-06T17:56:15.098629Z

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Unavailable: canonical work link unavailable.

Observation d51e3bad-930d-4fad-b4d3-137baafa315c · outbound

This paper cites Liquidity and impact in fair markets.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Liquidity and impact in fair markets

Reference 2

Resolution: unresolved; no resolver link, observed 2026-08-06T17:56:15.154444Z

Source-reported events for the cited work

Unavailable: canonical work link unavailable.

Observation c8cda759-8286-4d31-b4b9-4128c70ed79e · outbound

This paper cites The micro-price: a high-frequency estimator of future prices.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets The micro-price: a high-frequency estimator of future prices

Reference 3

Resolution: unresolved; no resolver link, observed 2026-08-06T17:56:15.240725Z

Source-reported events for the cited work

Unavailable: canonical work link unavailable.

Observation 9095e328-3126-451d-989e-25609094cff2 · outbound

This paper cites Hagströmer.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Hagströmer

Reference 4

Resolution: unresolved; no resolver link, observed 2026-08-06T17:56:15.308260Z

Source-reported events for the cited work

Unavailable: canonical work link unavailable.

Observation df167fc9-68e0-4881-80c1-22a2ad669907 · outbound

This paper cites Trade arrival dynamics and quote imbalance in a limit order book.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Trade arrival dynamics and quote imbalance in a limit order book

Reference 5

Resolution: verified exact; local_arxiv, observed 2026-08-06T17:56:17.484220Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 88f9bed6-f639-4eb6-a470-5b55fc315181 · outbound

This paper cites Limit order strategic placement with adverse selection risk and the role of latency.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Limit order strategic placement with adverse selection risk and the role of latency

Reference 6

Resolution: unresolved; no resolver link, observed 2026-08-06T17:56:15.471573Z

Source-reported events for the cited work

Unavailable: canonical work link unavailable.

Observation 645a5bf3-8b16-403d-9389-1d22ef1f1f66 · outbound

This paper cites Théorie de la spéculation.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Théorie de la spéculation

Reference 7

Resolution: unresolved; no resolver link, observed 2026-08-06T17:56:15.536568Z

Source-reported events for the cited work

Unavailable: canonical work link unavailable.

Observation 8da76615-f488-4148-a6ec-229d73152d9c · outbound

This paper cites The pricing of options and corporate liabilities.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets The pricing of options and corporate liabilities

Reference 8

Resolution: unresolved; no resolver link, observed 2026-08-06T17:56:15.610495Z

Source-reported events for the cited work

Unavailable: canonical work link unavailable.

Observation da03fccc-bcaf-4277-b836-4967881b59e7 · outbound

This paper cites Why do security prices change? a transaction-level analysis of nyse stocks.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Why do security prices change? a transaction-level analysis of nyse stocks

Reference 9

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:18.277051Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 656e8fc5-7055-4365-beed-71e103d011ff · outbound

This paper cites Robert and Mathieu Rosenbaum.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Robert and Mathieu Rosenbaum

Reference 10

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:18.268470Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 78dde9bc-706a-44fa-a850-312e8b85bd40 · outbound

This paper cites Robert, and Mathieu Rosenbaum.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Robert, and Mathieu Rosenbaum

Reference 11

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:18.258921Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 235cc5db-7ed0-4a7b-8523-ba994d914668 · outbound

This paper cites Dealing with the inventory risk: a solution to the market making problem.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Dealing with the inventory risk: a solution to the market making problem

Reference 12

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:18.249465Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation b92b6049-8dc1-4fa1-9a09-f59e6215a742 · outbound

This paper cites Toward a theory of marginally efficient markets.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Toward a theory of marginally efficient markets

Reference 13

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:18.239704Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 2b95426b-ad4c-481a-9abf-a57478e5d59a · outbound

This paper cites Measuring market efficiency: The shannon entropy of high-frequency financial time series.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Measuring market efficiency: The shannon entropy of high-frequency financial time series

Reference 14

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:18.230639Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 13c05c3c-b787-4be0-8339-f983772d3bd5 · outbound

This paper cites Information thermodynamics of financial markets: the glosten–milgrom model.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Information thermodynamics of financial markets: the glosten–milgrom model

Reference 15

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:18.220011Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 93f600a4-cae0-431a-aac6-7835a34c66fe · outbound

This paper cites Glosten and Paul R.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Glosten and Paul R

Reference 16

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:18.209845Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation b7f8f09b-e750-4e89-8e41-130030d87115 · outbound

This paper cites Logarithmic market scoring rules for modular combinatorial information aggregation.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Logarithmic market scoring rules for modular combinatorial information aggregation

Reference 17

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:18.201322Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 1397d17c-d17e-485a-a78a-b6d96b1cbb33 · outbound

This paper cites Pennock, Daniel M.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Pennock, Daniel M

Reference 18

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:18.191270Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 601c4a89-8474-4ea8-af97-5d1e05426547 · outbound

This paper cites Combinatorial information market design.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Combinatorial information market design

Reference 19

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:18.182970Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 10b45997-fdca-49f4-afe6-3cc3da1c2eaf · outbound

This paper cites Prediction markets.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Prediction markets

Reference 20

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:18.172749Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 987e885e-6c8b-4a09-827e-279dc7ea566e · outbound

This paper cites an unresolved cited work.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Unresolved cited work

Reference 21

Resolution: unresolved; raw_fallback, observed 2026-08-06T17:56:18.163214Z

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No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 67e04758-336f-4e48-9b99-4ad50d73a1cb · outbound

This paper cites Optimizing the liquidity parameter of logarithmic market scoring rules prediction markets.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Optimizing the liquidity parameter of logarithmic market scoring rules prediction markets

Reference 22

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:18.153473Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation cab11c96-6973-490c-bd4e-7539a64b7e78 · outbound

This paper cites A logarithmic market scoring rule agent-based model to evaluate prediction markets.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets A logarithmic market scoring rule agent-based model to evaluate prediction markets

Reference 23

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:18.143809Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation bb129e9c-9ca5-40b4-9cb7-3de83d25525a · outbound

This paper cites Price formation in field prediction markets: The wisdom in the crowd.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Price formation in field prediction markets: The wisdom in the crowd

Reference 24

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:18.133297Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation c7413d07-6233-44c6-9b6f-f616bc2c6092 · outbound

This paper cites Almgren and Neil Chriss.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Almgren and Neil Chriss

Reference 25

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:18.124166Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation a44d9deb-d637-4929-ad6a-218f24da37e1 · outbound

This paper cites Almgren and Neil Chriss.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Almgren and Neil Chriss

Reference 26

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:18.115211Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 2b717c07-5a1b-4321-bdd8-73014a169690 · outbound

This paper cites Almgren and.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Almgren and

Reference 27

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:18.105625Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 1a52d973-f29d-4a8e-b45c-6314cbdf5a00 · outbound

This paper cites Eugene Stanley.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Eugene Stanley

Reference 28

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:18.097067Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation aeef7926-1bc3-41b0-b6c7-94c07dc22114 · outbound

This paper cites Price manipulation and quasi-arbitrage.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Price manipulation and quasi-arbitrage

Reference 29

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:18.086313Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation b651beab-8cba-4e75-9eba-52a66355b092 · outbound

This paper cites Direct estimation of equity market impact.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Direct estimation of equity market impact

Reference 30

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:18.077192Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 6320f341-76c8-442a-9042-8d52f0cdaa9f · outbound

This paper cites Relation between bid–ask spread, impact and volatility in order-driven markets.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Relation between bid–ask spread, impact and volatility in order-driven markets

Reference 31

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.985124Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 8474b78b-321e-4270-a9bd-4f2b86374f66 · outbound

This paper cites Doyne Farmer, and Fabrizio Lillo.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Doyne Farmer, and Fabrizio Lillo

Reference 32

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.975611Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation b7b7dd2e-3f7f-4225-9c51-b7e430d06713 · outbound

This paper cites No-dynamic-arbitrage and market impact.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets No-dynamic-arbitrage and market impact

Reference 33

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.967433Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation a891191e-2c67-4c47-aafc-96d5c83537bf · outbound

This paper cites The price impact of order book events: market orders, limit orders and cancellations.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets The price impact of order book events: market orders, limit orders and cancellations

Reference 34

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.958280Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 6761b0a5-ea5e-4247-8d1d-ed54b45fc75a · outbound

This paper cites The market impact of a limit order.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets The market impact of a limit order

Reference 35

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.948796Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 68ddcc23-4766-426d-b5bd-c6dd0aa5c9aa · outbound

This paper cites Permanent market impact can be nonlinear.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Permanent market impact can be nonlinear

Reference 36

Resolution: verified exact; local_arxiv, observed 2026-08-06T17:56:17.147345Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation a6fbaa45-0bd1-48da-8e39-f62540b68f72 · outbound

This paper cites Doyne Farmer, Austin Gerig, Fabrizio Lillo, and Henri Waelbroeck.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Doyne Farmer, Austin Gerig, Fabrizio Lillo, and Henri Waelbroeck

Reference 37

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.940290Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 34dc138a-49aa-44cc-9bc1-a985061a6e19 · outbound

This paper cites Market impacts and the life cycle of investors orders.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Market impacts and the life cycle of investors orders

Reference 38

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.932125Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 20f99591-63ac-4e9b-aafb-72a396631747 · outbound

This paper cites Agent-based models for latent liquidity and concave price impact.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Agent-based models for latent liquidity and concave price impact

Reference 39

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.922480Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 2da2229b-0070-4e9b-b740-35965a428e73 · outbound

This paper cites A fully consistent, minimal model for non-linear market impact.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets A fully consistent, minimal model for non-linear market impact

Reference 40

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.913142Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 8dbd8cf5-3959-41c8-8252-b9aa2debabce · outbound

This paper cites Doyne Farmer, and Fabrizio Lillo.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Doyne Farmer, and Fabrizio Lillo

Reference 41

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.904685Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation e2677660-d55f-4ae9-8d7f-195a8aa739f0 · outbound

This paper cites Market impact: A systematic study of limit orders.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Market impact: A systematic study of limit orders

Reference 42

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.896663Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation c76cf0aa-0319-487f-ad89-c9818dd5d831 · outbound

This paper cites Price impact in a latent order book.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Price impact in a latent order book

Reference 43

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.886226Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation e7f8e647-65b4-4dd8-9903-0b6a317a3aaa · outbound

This paper cites Market Impact of Small Orders.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Market Impact of Small Orders

Reference 44

Resolution: verified exact; local_arxiv, observed 2026-08-06T17:56:16.829361Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation ede4b530-7632-4243-b2a0-517b41df2480 · outbound

This paper cites an unresolved cited work.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Unresolved cited work

Reference 45

Resolution: unresolved; raw_fallback, observed 2026-08-06T17:56:17.875706Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 309fe1b5-fda8-4999-9bd0-c15dd2fc42d2 · outbound

This paper cites The variation of certain speculative prices.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets The variation of certain speculative prices

Reference 46

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.866387Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation ea53e1e2-19e5-405f-af94-0dc10bcc6174 · outbound

This paper cites an unresolved cited work.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Unresolved cited work

Reference 47

Resolution: unresolved; raw_fallback, observed 2026-08-06T17:56:17.857166Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation f251559f-181c-4f64-898a-4f1b231dc77e · outbound

This paper cites an unresolved cited work.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Unresolved cited work

Reference 48

Resolution: unresolved; raw_fallback, observed 2026-08-06T17:56:17.849314Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation bbf14e7d-b4df-4e46-a14b-8a0b154b8923 · outbound

This paper cites A conditionally heteroskedastic time series model for speculative prices and rates of return.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets A conditionally heteroskedastic time series model for speculative prices and rates of return

Reference 49

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.840070Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation bf6ce683-202c-45aa-b296-78d45d5cca3c · outbound

This paper cites Andersen.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Andersen

Reference 50

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.831258Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 63fda9f5-00ca-429a-9f0d-586b351b79ac · outbound

This paper cites Statistical aspects of ARCH and stochastic volatility, pages 1–67.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Statistical aspects of ARCH and stochastic volatility, pages 1–67

Reference 51

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.821627Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 7d6b8792-ecce-499c-bf17-159d2b043bef · outbound

This paper cites Modelling extremal events: for insurance and finance.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Modelling extremal events: for insurance and finance

Reference 52

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.812212Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation b8e5d951-fbd9-45f8-97af-410dbf5966dc · outbound

This paper cites Gopikrishnan, M.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Gopikrishnan, M

Reference 53

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.803248Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation f3e0ff5c-e66e-464b-85ee-68295c20546b · outbound

This paper cites Scaling and criticality in a stochastic multi-agent model of a financial market.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Scaling and criticality in a stochastic multi-agent model of a financial market

Reference 54

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.793308Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 41b0caef-bf42-47b6-8d42-8ce4192f087f · outbound

This paper cites Mittnik, S.T.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Mittnik, S.T

Reference 55

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.783354Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 2d425baf-cb54-462f-b77c-654c0dc263b1 · outbound

This paper cites McNeil and Rüdiger Frey.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets McNeil and Rüdiger Frey

Reference 56

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.773006Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 0351fbf9-e3db-4d8c-8408-972b0f160b88 · outbound

This paper cites Empirical properties of asset returns: stylized facts and statistical issues.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Empirical properties of asset returns: stylized facts and statistical issues

Reference 57

Resolution: unresolved; no resolver link, observed 2026-08-06T17:56:16.254302Z

Source-reported events for the cited work

Unavailable: canonical work link unavailable.

Observation 5fe09a5a-6949-47a6-bde7-76b1bdb09deb · outbound

This paper cites Koedijk, Clemens J.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Koedijk, Clemens J

Reference 58

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.757457Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation ef0141d9-d1f6-488b-b21c-78607b85b495 · outbound

This paper cites Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management

Reference 59

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.749291Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation b254a7dd-1864-40ff-92ea-561c657c6821 · outbound

This paper cites Bradley and Murad S.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Bradley and Murad S

Reference 60

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.739021Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 233612fc-6489-47da-8c41-939ed66ae3f3 · outbound

This paper cites Chavez-Demoulin and J.A.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Chavez-Demoulin and J.A

Reference 61

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.728851Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation bfa39022-ff9e-4272-bd90-fb527c41105c · outbound

This paper cites Statistical consequences of fat tails: Real world preasymptotics, epistemology, and applications.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Statistical consequences of fat tails: Real world preasymptotics, epistemology, and applications

Reference 62

Resolution: verified exact; raw_fallback, observed 2026-08-06T17:56:16.561434Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation cce450d0-2941-47e9-b90e-ae9a2cbf09c9 · outbound

This paper cites Andersen and Luca Benzoni.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Andersen and Luca Benzoni

Reference 63

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.720204Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 9882ea7e-d081-481c-ae87-fe80d6d1f893 · outbound

This paper cites an unresolved cited work.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Unresolved cited work

Reference 64

Resolution: unresolved; raw_fallback, observed 2026-08-06T17:56:17.710324Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 93274a06-5b69-40ae-a90c-ec66efc6ce2a · outbound

This paper cites Stochastic V olatilityModeling.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Stochastic V olatilityModeling

Reference 65

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.701417Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 11752d97-9915-48ee-82af-d6c136ba6b4f · outbound

This paper cites Guiasu and A.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Guiasu and A

Reference 66

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.692329Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation fbe1029a-4aad-47ae-989b-d08969a1f4f8 · outbound

This paper cites an unresolved cited work.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Unresolved cited work

Reference 67

Resolution: unresolved; raw_fallback, observed 2026-08-06T17:56:17.682011Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 5b4c9191-3082-4668-b602-83fdec2fb006 · outbound

This paper cites Discovering market prices: Which price formation model best predicts the next trade? Blockchain Research Lab Working Paper Series, No.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Discovering market prices: Which price formation model best predicts the next trade? Blockchain Research Lab Working Paper Series, No

Reference 68

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.670448Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 70123032-e69f-4622-ae93-721432ecaed0 · outbound

This paper cites an unresolved cited work.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Unresolved cited work

Reference 69

Resolution: unresolved; raw_fallback, observed 2026-08-06T17:56:17.658790Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation a8b52cbf-64a8-4636-8576-1c8e8348e9f5 · outbound

This paper cites an unresolved cited work.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Unresolved cited work

Reference 70

Resolution: unresolved; raw_fallback, observed 2026-08-06T17:56:17.647169Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 944e1f9f-babe-4388-bd68-3dfaaf727217 · outbound

This paper cites James Press.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets James Press

Reference 71

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.633754Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 41b6596e-312b-4db5-993d-5a0f6e5cd5ba · outbound

This paper cites an unresolved cited work.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Unresolved cited work

Reference 72

Resolution: unresolved; raw_fallback, observed 2026-08-06T17:56:17.622540Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation c8050569-5c1c-42aa-8e34-4fb5210e9e64 · outbound

This paper cites A simple implicit measure of the effective bid-ask spread in an efficient market.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets A simple implicit measure of the effective bid-ask spread in an efficient market

Reference 73

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.610764Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation c1931b27-e04c-4425-bca4-87e7c323b747 · outbound

This paper cites The price impact of order book events.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets The price impact of order book events

Reference 74

Resolution: unresolved; no resolver link, observed 2026-08-06T17:56:16.301642Z

Source-reported events for the cited work

Unavailable: canonical work link unavailable.

Observation 6694828d-5235-4193-9914-8f8c7840d6c7 · outbound

This paper cites Gould and Julius Bonart.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Gould and Julius Bonart

Reference 75

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.593711Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation cefcedc5-3b81-4692-9d51-8f1078e19485 · outbound

This paper cites Doyne Farmer.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Doyne Farmer

Reference 76

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.585358Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 0f6a9bb2-31ce-4b0f-93b5-3c75d274047f · outbound

This paper cites Øksendal.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Øksendal

Reference 77

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.575314Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation ff180027-3f6a-4fd6-8835-1df252c45d46 · outbound

This paper cites an unresolved cited work.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Unresolved cited work

Reference 78

Resolution: unresolved; raw_fallback, observed 2026-08-06T17:56:17.566232Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 84eb708b-6ca8-4d55-a0e3-635835da791e · outbound

This paper cites The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making

Reference 79

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.557178Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 660eec92-9443-4c20-8c80-0276aeb7de2b · outbound

This paper cites Market liquidity and trading activity.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Market liquidity and trading activity

Reference 80

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.548357Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation e1d74d9d-8e37-4678-937a-54adc9ecae1c · outbound

This paper cites Illiquidity and stock returns: cross-section and time-series effects.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Illiquidity and stock returns: cross-section and time-series effects

Reference 81

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.539249Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation d23aca0a-ad25-47a9-b657-2730c7338821 · outbound

This paper cites Fat Tails in Financial Return Distributions Revisited: Evidence from the Korean Stock Market.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Fat Tails in Financial Return Distributions Revisited: Evidence from the Korean Stock Market

Reference 82

Resolution: verified exact; local_arxiv, observed 2026-08-06T17:56:16.366803Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 6cdbc5ef-5fed-45e3-8397-0cc9598ecd88 · outbound

This paper cites Ball and Tarun Chordia.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Ball and Tarun Chordia

Reference 83

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.529101Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 29418c58-ea61-4f6d-b70d-166db0b122a7 · outbound

This paper cites Continuous auctions and insider trading.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Continuous auctions and insider trading

Reference 84

Resolution: verified fuzzy; raw_fallback, observed 2026-08-06T17:56:17.519584Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation 4c7dd9cb-fbfa-4a35-8360-abc903c718c1 · outbound

This paper cites an unresolved cited work.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets Unresolved cited work

Reference 85

Resolution: unresolved; raw_fallback, observed 2026-08-06T17:56:17.507966Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

Observation f0d46296-94b0-4b83-8b78-c4ea0daca072 · outbound

This paper cites mn + ϵn Sn 2 − P boltzmann n+ℓ # (83) Using Lemma 4.1, we have: Gboltzmann L (n, n+ ℓ) ≈ vϵn.

Boltzmann Price: Toward Understanding the Fair Price in High-Frequency Markets mn + ϵn Sn 2 − P boltzmann n+ℓ # (83) Using Lemma 4.1, we have: Gboltzmann L (n, n+ ℓ) ≈ vϵn

Reference 86

Resolution: malformed identifier; raw_fallback, observed 2026-08-06T17:56:17.496909Z

Source-reported events for the cited work

No event found in the named queried sources as of 2026-08-11T06:34:44.6726+00:00.

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Reference resolution

Outbound references

Pith citing papers