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Jonathan Donier edited figures/atkinson/caption.tex
almost 9 years ago
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\label{fig:atkinson} Graph of the normalized exact solution $\phi_\infty(u)$, and its affine approximation. The whole picture must be rescaled by a factor $\sqrt{\tau}$ to recover the order book when the inter-auction time is $\tau$. The hatched region corresponds to the volume to be executed, and therefore scales with $\tau$.