{
  "annotation_id": "739e2508-217d-484e-af96-2b94f9b00c7e",
  "date_created": "2026-03-02T18:01:03.096000Z",
  "date_modified": "2026-03-02T18:01:03.096000Z",
  "file_hash": "600b2c5d05451a8b42d43dd8f87276c3a6b665188cfe0261149912f2c571fef2",
  "private": false,
  "record": {
    "abstract": "Starting from an exact relationship between news, threshold and price return\ndistributions in the stationary state, I discuss the ability of the\nGhoulmie-Cont-Nadal model of traders to produce fat-tailed price returns. Under\nnormal conditions, this model is not able to transform Gaussian news into\nfat-tailed price returns. When the variance of the news so small that only the\nplayers with zero threshold can possibly react to news, this model produces\nLevy-distributed price returns with a -1 exponent. In the special case of\nsuper-linear price impact functions, fat-tailed returns are obtained from\nwell-behaved news.",
    "arxiv_id": "physics/0510257",
    "authors": [
      "Damien Challet"
    ],
    "categories": [
      "physics.soc-ph",
      "cond-mat.stat-mech",
      "q-fin.TR"
    ],
    "doi": "10.1088/0305-4470/39/48/001",
    "title": "News and price returns from threshold behaviour and vice-versa: exact   solution of a simple agent-based market model",
    "url": "https://arxiv.org/abs/physics/0510257"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "c097c992-f07b-40f4-a40c-fd8e590c42e6",
    "id": "arXiv Dataset IDs",
    "type": "Model",
    "variant": "snapshot-2026-03-01",
    "version": "0.1.0"
  },
  "user_id": 1000002
}