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Sponsored Artificial Intelligence: A Modern Approach, Global Edition Artificial Intelligence: A Modern Approach, Global Edition

Author

Andrey Itkin

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2 papers indexed here

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Preprint Aug 2026

Calibrating Inelastic Markets to Options: The Lean Marketron and the Generalized Langevin Equation

The Marketron model of \cite{HalperinItkin2025Mark} and its option pricing extension in \cite{HalperinItkinMarketron2} suffer from structural non-identifiability: an eighteen-parameter space traps solvers in suboptimal local minima and renders economic quantities unmeasurable. By removing exact scaling gauges and sign...

Andrey Itkin · 1 citation
Preprint Sep 2026

A Generalized Langevin Model of Latent Liquidity and Concave Price Impact

We model market impact as the response to submitted order flow net of counterflow from latent traders, activated when price displacements from the level that would prevail without the order exceed individual thresholds. Order flow depletes this pool, and a generalized Langevin equation governs its recovery over several...

Andrey Itkin · 0 citations

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