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most citedThe Yoccoz-Birkeland livestock population model coupled with random price dynamics

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q-fin.TR2026

When large trades are not (automatically) news: liquidity tail risk and price discovery

Umut Çetin, Mingwei Lin, Giulia Livieri

We examine how heavy-tailed liquidity demand changes price discovery in a sequential limit order book with asymmetric information. In our setting, liquidity suppliers observe aggre…