How does latent liquidity get revealed in the limit order book?

DOI10.1088/1742-5468/AAF10EOpenAlexW3124295422WikidataQ128682979 ScholiaQ128682979MaRDI QIDQ5006884

Antoine Fosset, Michael Benzaquen, Lorenzo Dall'Amico, Jean-Philippe Bouchaud

Publication date: 17 August 2021

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.09677

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (3)

The inelastic market hypothesis: a microstructural interpretation ⋮ Endogenous liquidity crises ⋮ Statistical analysis and stochastic interest rate modeling for valuing the future with implications in climate change mitigation

Cites Work

• Market impact with multi-timescale liquidity
• Statistical theory of the continuous double auction
• A fully consistent, minimal model for non-linear market impact

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