Limit Order Book Dynamics in Matching Markets

Abstract

This project studies matching markets as a microstructure system built around bid–ask spreads, liquidity droughts, and execution constraints. It formalizes matching decisions as limit-order-book executions, demonstrating that linear compensation cannot close structural preference gaps unless it induces identity collapse. A dynamic execution threshold explains settling, high-tier instant matches, and post-match regret (slippage).

Repository Overview

This Space mirrors the GitHub repository and provides a lightweight static homepage for the associated arXiv paper. All experiments, plots, and simulation code are available on GitHub.

How to Use

• Visit GitHub for full code and figures
• Read the arXiv paper for theoretical details
• All images are hosted remotely to comply with HF static Space rules

Citation

Wu, Y. (2025). Limit Order Book Dynamics in Matching Markets:
Microstructure, Spread, and Execution Slippage.
arXiv:2511.20606.