The case study on the U.S. Treasury Direct examines the evolution of the electronic distribution systems for marketable and nonmarketable government securities, the main objectives, and the basic legal infrastructure and the preconditions enabling the system. The U.S. experience highlights that...

We revisit the classical problem of market impact through the lens of a new agent-based model. Drawing from the mean-field approach in Statistical Mechanics and Physics, we assume a large number of 'agents' interacting in the order book. By taking the 'continuum' limit we obtain a set of...