Relation between bid–ask spread, impact and volatility in order-driven markets (Q3518387): Difference between revisions

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+MaRDI publication profile
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+W2120211239
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+physics/0603084
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+Random walks, liquidity molasses and critical response in financial markets
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+There's more to volatility than volume
@@ Property / cites work: There's more to volatility than volume / rank @@
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+Empirical Analysis of Limit Order Markets
@@ Property / cites work: Empirical Analysis of Limit Order Markets / rank @@
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+Continuous Auctions and Insider Trading
@@ Property / cites work: Continuous Auctions and Insider Trading / rank @@
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+Order book approach to price impact
@@ Property / cites work: Order book approach to price impact / rank @@
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+Publication:3518387