Optimal Auction Duration: A Price Formation Viewpoint

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

zbMATH Keywords

microstructureNash equilibriumauctionsmarket designmarket makingBSDEscontinuous tradinglimit order books

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Financial markets (91G15)

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