SSRNTrading, Microstructure & Execution
The Breakdown of Price Discovery at the Critical Threshold of Passive Investment: An Agent-based Limit Order Book Formulation
An agent-based model shows how rising passive market share starves the limit order book of price-sensitive capital, leading to deteriorating price discovery and emergent liquidity crises.
Featured in No. 136 on 23 Oct 2026 · on release day
- Released
- 23 Oct 2026
- First featured
- No. 136 · 23 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 3 of 5
- Identifier
- SSRN 7652221
- Authors
- Marcos Garcés
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).