Quant Letter: October 2025, Week-1
108th Edition
ArXiv
Finance
Revisiting Mean-field Theory: The Santa Fe model, used for analyzing the dynamics of the limit order book, is reevaluated using kinetic theory, leading to a new equation for the order-book density profile and identifying a previous error by E. Smith and colleagues. (2025-10-02, shares: 24)
Portfolio Similarity Metric: STRAPSim, a new method f…
