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

By Umut Çetin, Mingwei Lin, Giulia Livieri

Published 2026-08-03

Everscope rating

2021.1

Relevance to quantitative trading

9 / 10

Implementation complexity

9 / 10

Reproducibility

3 / 5

About this paper

Methodology: Dynamic Competitive Limit Order Book Equilibrium with Heavy-Tailed Noise. Problem types: Market Making, Algorithmic Execution, Risk Management, Causal Inference, Density Estimation, Optimization.

arXiv:2607.01198 · Paper rankings

Open the interactive Everscope explorer for full analysis, charts, and paper battles.