Power laws in market microstructure

DOI10.3934/FMF.2023003zbMath1519.91238OpenAlexW4323341855MaRDI QIDQ6105377

Henri Waelbroeck, Umut Çetin

Publication date: 26 June 2023

Published in: Frontiers of Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/fmf.2023003

zbMATH Keywords

equilibriumpower lawsmarket microstructureprice impactlimit order bookh-transform

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• Unnamed Item
• More statistical properties of order books and price impact
• A lattice-theoretical fixpoint theorem and its applications
• How efficiency shapes market impact
• Institutional Investors and Stock Market Volatility
• Continuous Auctions and Insider Trading

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