2 papers
q-fin.TR2026
A Limit Order Market with Uncertain Informed Trading Participation
Umut Ãetin, Mingwei Lin
We study a one period limit order market with informed traders, noise traders, and competitive liquidity suppliers, in which the number of informed traders is random. Liquidity sup…
q-fin.TR2026
When large trades are not (automatically) news: liquidity tail risk and price discovery
Umut Ãetin, 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…