Same Book, Different Fills: Partial Identification of FIFO Execution from Aggregate Order Books

By Riya Danait, Yuliana Zamora, Ioana Boier

Published 2026-09-17

Everscope rating

1696.5

Relevance to quantitative trading

9 / 10

Implementation complexity

8 / 10

Reproducibility

2 / 5

About this paper

Methodology: Path-Conditional FIFO Sensitivity Framework. Problem types: Algorithmic Execution, Optimization, Partial Identification.

arXiv:2609.13597 · Paper rankings

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