Before revision: We revisit the classical problem of market impact through the lens of a new agent-based model. Drawing from the mean-field approach in Statistical Mechanics and Physics, we assume a large number of agents interacting in the order book .
After revision: We revisit the classical problem of market impact through the lens of a new agent-based models for market impact. This work extends the minimal model by allowing agents to exhibit mean-reversion, a commonly observed pattern in real markets. This modification leads to new order book dynamics, which we explicitly study and analyze. Underlying our analysis is a mean-field approach in Statistical Mechanics and Physics, we assume a large number of agents interacting in the order book .