1 citations · 2 across the 2 of their papers we have counts for
2 papers
q-fin.TR2024★ 1 cited
Equity auction dynamics: latent liquidity models with activity acceleration
Mohammed Salek, Damien Challet, Ioane Muni Toke
Equity auctions display several distinctive characteristics in contrast to continuous trading. As the auction time approaches, the rate of events accelerates causing a substantial…
q-fin.ST2023★ 1 cited
Price impact in equity auctions: zero, then linear
Mohammed Salek, Damien Challet, Ioane Muni Toke
Using high-quality data, we report several statistical regularities of equity auctions in the Paris stock exchange. First, the average order book density is linear around the aucti…