Relation between bid–ask spread, impact and volatility in order-driven markets (Q3518387): Difference between revisions
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Property / cites work: Random walks, liquidity molasses and critical response in financial markets / rank | |||
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Property / cites work: There's more to volatility than volume / rank | |||
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Property / cites work: Empirical Analysis of Limit Order Markets / rank | |||
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Property / cites work: Continuous Auctions and Insider Trading / rank | |||
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Property / cites work: Order book approach to price impact / rank | |||
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Latest revision as of 14:19, 28 June 2024
scientific article
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English | Relation between bid–ask spread, impact and volatility in order-driven markets |
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Relation between bid–ask spread, impact and volatility in order-driven markets (English)
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7 August 2008
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microstructure
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bid-ask spread
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impact
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liquidity
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