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- W2922808570 abstract "We apply coupled-wave model to describe statistics of imbalance in order book and its impact on price. We find that the model can be related to the observed market data if coupling is dynamic and depends on imbalance in such way that kicks the system out of states with large imbalance. Dynamic coupling has impact on price returns by affecting execution probabilities unless the price settles around the security’s fair value." @default.
- W2922808570 created "2019-04-01" @default.
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- W2922808570 date "2017-01-01" @default.
- W2922808570 modified "2023-09-25" @default.
- W2922808570 title "Dynamic Coupling in Order Book: Quantum Framework" @default.
- W2922808570 doi "https://doi.org/10.2139/ssrn.3095073" @default.
- W2922808570 hasPublicationYear "2017" @default.
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