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

Authors: Matthieu Wyart ^a;  Jean-Philippe Bouchaud ^a;  Julien Kockelkoren ^a;  Marc Potters ^a; Michele Vettorazzo ^a

Affiliation:

a Science & Finance, Capital Fund Management, 75009 Paris, France

DOI: 10.1080/14697680701344515

Publication Frequency: 8 issues per year

Published in: Quantitative Finance, Volume 8, Issue 1 February 2008 , pages 41 - 57

Subjects: Applied Mathematics; Business Mathematics; Finance & Accounting; Financial Mathematics;

Formats available: HTML (English) : PDF (English)

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