Non-unique time arising from event-driven order flow points to a foundational market incompleteness beyond usual no-arbitrage assumptions.
No-dynamic-arbitrage and market impact
2 Pith papers cite this work. Polarity classification is still indexing.
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A coupled reaction-diffusion model of order books yields the LMF trade-sign long memory and square-root meta-order impact, reinterpreted as event-time versus physical-time statements with subordination effects.
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Non-unique time and market incompleteness
Non-unique time arising from event-driven order flow points to a foundational market incompleteness beyond usual no-arbitrage assumptions.
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Revisiting Trade-sign Long-memory and Square-root Law price impact
A coupled reaction-diffusion model of order books yields the LMF trade-sign long memory and square-root meta-order impact, reinterpreted as event-time versus physical-time statements with subordination effects.