How markets slowly digest changes in supply and demand
In this article we revisit the classic problem of tatonnement in price formation from a microstructure point of view, reviewing a recent body of theoretical and empirical work explaining how fluctuations in supply and demand are slowly incorporated into prices. Because revealed market liquidity is e...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Elsevier
2008
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