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

Wyart, MatthieuBouchaud, Jean-PhilippeKockelkoren, JulienPotters, MarcVettorazzo, Michele2016-10-182016-10-182016-10-18200810.1080/14697680701344515https://infoscience.epfl.ch/handle/20.500.14299/130521Relation between bid–ask spread, impact and volatility in order-driven marketstext::journal::journal article::research article