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Optimal Auction Duration: A Price Formation Viewpoint - MaRDI portal

Optimal Auction Duration: A Price Formation Viewpoint (Q5031656)

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scientific article; zbMATH DE number 7474581
Language Label Description Also known as
English
Optimal Auction Duration: A Price Formation Viewpoint
scientific article; zbMATH DE number 7474581

    Statements

    title
    Optimal Auction Duration: A Price Formation Viewpoint (English)
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    author
    Paul Jusselin
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    Thibaut Mastrolia
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    Mathieu Rosenbaum
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    publication date
    16 February 2022
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    zbMATH Keywords
    microstructure
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    market design
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    auctions
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    limit order books
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    continuous trading
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    market making
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    Nash equilibrium
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    BSDEs
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    Identifiers

    zbMATH DE Number
    7474581
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    OpenAlex ID
    W3195173520
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    arXiv ID
    1906.01713
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