2020/12/31 by Joffrey Derchu, Derchu, Joffrey · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Economics and business #Game Theory and Applications #Innovation Diffusion and Forecasting #Trading and Market Microstructure (q-fin.TR) #q-fin.TR
paper · pdf · doi:10.48550/arxiv.2012.15705
openalex publication_date 2020/12/31 · arxiv created 2021/09/28 · arxiv updated 2021/09/29 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We introduce a simple framework in which market participants update their prior about an efficient price with a model-based learning process. We show that exponential intensities for the arrival of aggressive orders arise naturally in this setting. Our approach allows us to fully describe market dynamics in the case with Brownian efficient price and informed market takers. We are also able to revisit the emergence of market impact due to meta-order splitting, making several connections with existing literature.