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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
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