Relation between bid–ask spread, impact and volatility in order-driven markets

DOI10.1080/14697680701344515zbMath1140.91414arXivphysics/0603084MaRDI QIDQ3518387

Jean-Philippe Bouchaud, Marc Potters, Michele Vettorazzo, Matthieu Wyart, Julien Kockelkoren

Publication date: 7 August 2008

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/physics/0603084

zbMATH Keywords

microstructure; impact; liquidity; bid-ask spread

Mathematics Subject Classification ID

91B84: Economic time series analysis

91B26: Auctions, bargaining, bidding and selling, and other market models

Related Items

Limit theorems for nearly unstable Hawkes processes, Limit order books, High-frequency trading model for a complex trading hierarchy, Discovering stock dynamics through multidimensional volatility phases, Diffusive behavior and the modeling of characteristic times in limit order executions

Cites Work

• Order book approach to price impact
• There's more to volatility than volume
• Continuous Auctions and Insider Trading
• Empirical Analysis of Limit Order Markets
• Random walks, liquidity molasses and critical response in financial markets