How does latent liquidity get revealed in the limit order book?

DOI10.1088/1742-5468/AAF10EMaRDI QIDQ5006884zbMATH OpenOpenAlexWikidataFDO

Authors Lorenzo Dall'Amico, Antoine Fosset, Jean-Philippe Bouchaud, Michael Benzaquen

Publication date 17 August 2021

Published in Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1808.09677

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Recommendations

• Liquidity fluctuations and the latent dynamics of price impact
• Latency and liquidity provision in a limit order book
• Latency and liquidity risk
• The market impact of a limit order
• A Law of Large Numbers for Limit Order Books

Cites work

• A fully consistent, minimal model for nonlinear market impact
• Market impact with multi-timescale liquidity
• Statistical theory of the continuous double auction

Cited in

(4)

• The inelastic market hypothesis: a microstructural interpretation
• Endogenous liquidity crises
• Statistical analysis and stochastic interest rate modeling for valuing the future with implications in climate change mitigation
• Equity auction dynamics: latent liquidity models with activity acceleration

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