April 2026
Intermediate
288 pages
9h 2m
English
Content preview from Financial Mathematics for Cryptocurrencies
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CHAPTER 8Cost of Liquidity
8.1 PRICE DECOMPOSITION FRAMEWORK
8.1.1 Order Books and Market Structure
In a perfectly efficient market, with perfect information diffusion and no transaction costs, there would be a single market-clearing price where all transactions occur. As a result, the difference between all selling interests and all buying interests should be zero.
This difference between the best selling offer and the best buying offer is called the spread, as per Definition ...
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