SSRNTrading, Microstructure & Execution
Aggregation of Financial Markets
A new framework for understanding financial markets using utility functions and limit order book states is introduced, suggesting a measure of liquidity loss due to arbitrage.
Featured in No. 15 on 14 Sep 2023 · 1 day after release · 0 citations today
- Released
- 13 Sep 2023
- First featured
- No. 15 · 14 Sep 2023
- Citations (Semantic Scholar)
- 0
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 4
- Identifier
- SSRN 4569993
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).