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A Bayesian Viewpoint on the Price Formation Process

Joffrey Derchu

Market Microstructure and Liquidity2020https://doi.org/10.1142/s2382626620500100article
ABDC B
Weight
0.26

What the paper says

In this paper, we introduce a simple framework in which market participants update their prior about an efficient price with a model-based learning process. We show that exponential intensities for the arrival of aggressive orders arise naturally in this setting. Our approach allows us to fully describe market dynamics in the case with Brownian efficient price and informed market takers. We are also able to revisit the emergence of market impact due to meta-order splitting, making several connections with existing literature.

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https://doi.org/https://doi.org/10.1142/s2382626620500100

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@article{joffrey2020,
  title        = {{A Bayesian Viewpoint on the Price Formation Process}},
  author       = {Joffrey Derchu},
  journal      = {Market Microstructure and Liquidity},
  year         = {2020},
  doi          = {https://doi.org/https://doi.org/10.1142/s2382626620500100},
}

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A Bayesian Viewpoint on the Price Formation Process

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Evidence weight

0.26

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.00 × 0.4 = 0.00
M · momentum0.20 × 0.15 = 0.03
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.