---
title: The Breakdown of Price Discovery at the Critical Threshold of Passive Investment: An Agent-based Limit Order Book Formulation
url: https://www.ml-quant.com/papers/ssrn/7652221/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-10-23
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 7652221
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7652221
featured: 2026-10-23
citations: unknown
topic: Trading, 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.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7652221
- Identifier: SSRN 7652221
- Released: 2026-10-23
- First featured: Quant Letter No. 136 (2026-10-23): https://www.ml-quant.com/issues/2026-10-23/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Trading, Microstructure & Execution
- Authors: Marcos Garcés

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