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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: journal Quantitative Finance, Volume 8, Issue 1 February 2008 , pages 41 - 57
Formats available: HTML (English) : PDF (English)
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