Order book approach to price impact

Quantitative Finance

Volumn 5, Issue 4, 2005, Pages 357-364

  Weber, P ^a   Rosenow, B ^a  

^a UNIVERSITY OF COLOGNE   (Germany)

Author keywords

Liquidity; Order book; Price impact; Resiliency

Indexed keywords

EID: 26644434394     PISSN: 14697688     EISSN: None     Source Type: Journal    
DOI: 10.1080/14697680500244411     Document Type: Article

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