Optimal Auction Duration: A Price Formation Viewpoint
From MaRDI portal
Publication:5031656
DOI10.1287/opre.2021.2113zbMath1484.91216arXiv1906.01713OpenAlexW3195173520MaRDI QIDQ5031656
Paul Jusselin, Thibaut Mastrolia, Mathieu Rosenbaum
Publication date: 16 February 2022
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1906.01713
microstructureNash equilibriumauctionsmarket designmarket makingBSDEscontinuous tradinglimit order books
Auctions, bargaining, bidding and selling, and other market models (91B26) Financial markets (91G15)
Cites Work
- One-dimensional BSDEs with left-continuous, lower semi-continuous and linear-growth generators
- Bang-bang-type Nash equilibrium point for Markovian nonzero-sum stochastic differential game
- Existence, uniqueness and stability of \(L^1\) solutions for multidimensional backward stochastic differential equations with generators of one-sided Osgood type
- \(L^p\) solutions to backward stochastic differential equations with discontinuous generators
- High frequency trading strategies, market fragility and price spikes: an agent based model perspective
- Minimal supersolutions of BSDEs with lower semicontinuous generators
- A class of backward stochastic differential equations with discontinuous coefficients
- BSDES ON FINITE AND INFINITE TIME HORIZON WITH DISCONTINUOUS COEFFICIENTS
- A Stochastic Model for Order Book Dynamics
- High-frequency trading in a limit order book
- Optimal market making
- What is the Optimal Trading Frequency in Financial Markets?
- The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response *
- OR Forum—The Cost of Latency in High-Frequency Trading
- A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies
- Probabilistic Theory of Mean Field Games with Applications II