@article{astochasticvolatilityapproximationfora,
  title = {A stochastic volatility approximation for a tick-by-tick price model with mean-field interaction},
  author = {Paolo Dai Pra and Paolo Pigato},
  year = {2025},
  eprint = {2504.03445},
  archivePrefix = {arXiv},
  url = {https://arxiv.org/abs/2504.03445v1},
}