Relation between bid–ask spread, impact and volatility in order-driven markets
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Publication:3518387
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
91B84: Economic time series analysis
91B26: Auctions, bargaining, bidding and selling, and other market models
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