arXiv (All)
open access
A Generalized Langevin Model of Latent Liquidity and Concave Price Impact
We model market impact as the response to submitted order flow net of counterflow from latent traders, activated when price displacements from the level that would prevail without the order exceed individual thresholds. Order flow depletes this pool, and a generalized Langevin equation governs its r
Conceptio Open Archive
Analyze & explore related research in Conceptio
Connect this record directly into your research workflow or AI agent. Explore citations across open repositories, query full text, and export structured proof bundles.
This document is indexed with metadata only: full text is not available in the archive for this record. Open the official source ↗
Related documents
- Limit Order Trading#942669
- Unwinding Toxic Flow with Partial Information#1122888
- Post-Rejection Follow-up Sampling: Measuring Outcomes of Rejected Decisions in Algorithmic DEX Trading#1034741
- Repurposing Deep Limit Order Book Forecasting for Scenario-Conditioned Market Impact Modeling#1123341
- Repurposing Deep Limit Order Book Forecasting for Scenario-Conditioned Market Impact Modeling#919420
Record · ID 1142179
Retrieved via Conceptio: every document is proof-bundled with source, license, and retrieval metadata.
Retrieved via Conceptio: every document is proof-bundled with source, license, and retrieval metadata.
Bring this data into your agent: Connect via MCP or API · 20 free credits to start · no card required
Read the Docs → · View CLI source on GitHub · Conceptio Open Knowledge Archive
Read the Docs → · View CLI source on GitHub · Conceptio Open Knowledge Archive