Relation between bid–ask spread, impact and volatility in order-driven markets
2008
Details
Title
Relation between bid–ask spread, impact and volatility in order-driven markets
Author(s)
Wyart, Matthieu ; Bouchaud, Jean-Philippe ; Kockelkoren, Julien ; Potters, Marc ; Vettorazzo, Michele
Published in
Quantitative Finance
Volume
8
Issue
1
Pages
41-57
Date
2008
Publisher
Taylor & Francis
ISSN
1469-7696
Laboratories
PCSL
Record Appears in
Scientific production and competences > SB - School of Basic Sciences > IPHYS - Institute of Physics > PCSL - Physics of complex systems laboratory
Peer-reviewed publications
Work outside EPFL
Journal Articles
Published
Peer-reviewed publications
Work outside EPFL
Journal Articles
Published
Record creation date
2016-10-18