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Quantitative Finance · Glossary

What is Obizhaeva–Wang model?

Also known as: Obizhaeva--Wang model

Definition 12.3 Microstructure and Execution · Chapter 12 — Transient Impact and Propagator Models

The Obizhaeva–Wang model is the transient impact model of a limit order book with a block shape and exponential resilience: the book refills at rate ρ\rho after being consumed, so G(t)=e−ρtG(t)=e^{-\rho t} up to a constant.

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