Market impact with multi-timescale liquidity

M. Benzaquen and J.-P. Bouchaud

Quantitative Finance, 2018, vol. 18, issue 11, 1781-1790

Abstract: Finite-memory effects on the dynamics of the latent order book can be accounted for by allowing finite cancellation and deposition rates within a continuous reaction-diffusion set-up

Date: 2018
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DOI: 10.1080/14697688.2018.1444279

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