股票拍卖动态：活动加速的潜在流动性模型

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE

Quantitative Finance Pub Date : 2024-07-15 DOI:10.1080/14697688.2024.2367680

Mohammed Salek, Damien Challet, Ioane Muni Toke

引用次数: 0

摘要

与连续交易相比，股票拍卖显示出几个与众不同的特点。随着拍卖时间的临近，事件发生的速度加快，导致大量流动性积聚...

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Equity auction dynamics: latent liquidity models with activity acceleration

Equity auctions display several distinctive characteristics in contrast to continuous trading. As the auction time approaches, the rate of events accelerates causing a substantial liquidity buildup...

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来源期刊

Quantitative Finance 社会科学-数学跨学科应用

CiteScore

3.20

自引率

7.70%

发文量

102

审稿时长

4-8 weeks

期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.