Equity auction dynamics: latent liquidity models with activity acceleration
Author:
Affiliation:
1. Laboratoire de Mathématiques et Informatique pour la Complexité et les Systèmes, Université Paris-Saclay, CentraleSupélec, Gif-sur-Yvette 91192, France
Funder
CentraleSupélec
BNP Paribas
Publisher
Informa UK Limited
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2024.2367680
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4. A fractional reaction–diffusion description of supply and demand
5. Market impact with multi-timescale liquidity
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