Newest papers

A Finite Bid--Ask Spread from Replenishment Displaced from the Quote

Christopher N. Angstmann, Derick Diana, Tim Gebbie · 2026 · arXiv (Cornell University)

DOI: 10.48550/arxiv.2610.07985 · cited by 0 works (OpenAlex) · open-access PDF

Japanese

我々は2つのフィールドの反応 - 拡散順序ブックで限られたオファー - エクスプレッドの統一分析アカウントを提供します。 モデルは、拡散、キャンセル、反応および外部順序の作成で、オファーとエクスプレッドの密度を操作時間内に別々に保持します。 シンメトリック平等コエクシエントの分支で、不均衡フィールドは反応価格を決定する一方、全体の静止密度は拡散ジオメトリーを持ちます。 キャンセル長さを超えて、市場を作成するソースは、反応境界周辺の限られた間隔を通してオファーの配置を保持することによって導入されます。 分離された、四方的および弱

Machine translation (Meta M2M100); the English original follows.

Abstract

We give a unified analytic account of a finite bid--ask spread in a two-field reaction--diffusion order book. The model retains separate bid and ask densities in operational time, with diffusion, cancellation, reaction and external order creation. On the symmetric equal-coefficient branch, the imbalance field determines the reaction price, while the total standing density carries the spread geometry. A market-making source is introduced by withholding order placement over a finite interval around the reaction boundary, representing round-trip replenishment displaced from the quote. Under a separated, quasistationary and weak-overlap approximation, transport penetrates inward from the placement edges over the cancellation length, giving the quoted spread as the sub-threshold core of the placement-source-free interval. Market orders remove standing density at the observed quote, whereas replenishment is delivered outside it and must diffuse back across the penetration depth. We derive the resulting delayed and attenuated quote-level response in operational time. On that branch, finite spread and price impact arise from distinct response sectors, while their calendar-time appearance requires a separate observation clock.

Read in: English · Spanish · Chinese · Hindi · Arabic · Portuguese · French · German · Japanese · Russian · Korean · Indonesian · Vietnamese

Topics: Finite set, Order (exchange), Core (optical fiber), Interval (graph theory), Mathematics, Mechanics

Sources: OpenAlex (CC0), arXiv, Crossref. Agent Exchange