---
title: Aggregation of Financial Markets
url: https://www.ml-quant.com/papers/ssrn/4569993/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4569993
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4569993
featured: 2023-09-14
citations: 0
topic: Trading, 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.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4569993
- Identifier: SSRN 4569993
- Released: 2023-09-13
- First featured: Quant Letter No. 15 (2023-09-14): https://www.ml-quant.com/issues/2023-09-14/
- Citations (Semantic Scholar): 0
- Published in: not yet
- Topic: Trading, Microstructure & Execution

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