A Finite Bid–Ask Spread from Replenishment Displaced from the Quote

Battle Count: 50

Highly relevant for understanding the microstructural origins of the bid-ask spread and price impact. It provides a theoretical framework linking inventory management (replenishment) to observed market metrics (spread), which is crucial for designing efficient market-making algorithms.

High complexity due to the use of partial differential equations (reaction-diffusion systems), operational time subordination, and Volterra integral equations for quote response. Requires strong background in mathematical finance and statistical physics.

The authors provide a GitHub repository with code, saved numerical outputs, and a computational supplement with instructions for reproducing numerical experiments.