More statistical properties of order books and price impact

Physica A: Statistical Mechanics and its Applications

Volumn 324, Issue 1-2, 2003, Pages 133-140

  Potters, Marc ^a   Bouchaud, Jean Philippe ^a,b,c  

^a Science and Finance   (France)

^b DIF   (France)

^c CEA SACLAY   (France)

Author keywords

[No Author keywords available]

Indexed keywords

COMMERCE; DATA REDUCTION; FINANCE; FUNCTIONS; STATISTICAL METHODS;

PRICE IMPACT;

ECONOMICS;

EID: 0038576445     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(02)01896-4     Document Type: Conference Paper

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