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- W4366131808 abstract "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." @default.
- W4366131808 created "2023-04-19" @default.
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- W4366131808 date "2020-12-31" @default.
- W4366131808 modified "2023-09-30" @default.
- W4366131808 title "A Bayesian viewpoint on the price formation process" @default.
- W4366131808 doi "https://doi.org/10.48550/arxiv.2012.15705" @default.
- W4366131808 hasPublicationYear "2020" @default.
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