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<title>Limit Order Book Dynamics in Matching Markets</title> |
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<h1>Limit Order Book Dynamics in Matching Markets</h1> |
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<p><strong>Yao Wu, Westlake University</strong></p> |
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<div class="paper-links"> |
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<a href="https://arxiv.org/abs/2511.20606" target="_blank">📄 arXiv Paper</a> |
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<a class="code-link" href="https://github.com/Republic1024/Limit-Order-Matching-Microstructure" target="_blank">💻 GitHub Code</a> |
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<h2>Abstract</h2> |
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<p> |
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This project studies matching markets as a microstructure system built around |
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bid–ask spreads, liquidity droughts, and execution constraints. |
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It formalizes matching decisions as limit-order-book executions, demonstrating |
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that linear compensation cannot close structural preference gaps unless it |
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induces identity collapse. A dynamic execution threshold explains settling, |
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high-tier instant matches, and post-match regret (slippage). |
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<h2>Repository Overview</h2> |
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This Space mirrors the GitHub repository and provides a lightweight static |
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homepage for the associated arXiv paper. All experiments, plots, and simulation |
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code are available on GitHub. |
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<h2>How to Use</h2> |
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<ul> |
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<li>Visit GitHub for full code and figures</li> |
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<li>Read the arXiv paper for theoretical details</li> |
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<li>All images are hosted remotely to comply with HF static Space rules</li> |
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</ul> |
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<h2>Citation</h2> |
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<pre> |
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Wu, Y. (2025). Limit Order Book Dynamics in Matching Markets: |
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Microstructure, Spread, and Execution Slippage. |
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arXiv:2511.20606. |
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</pre> |
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