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

Quantitative Finance

Volumn 8, Issue 1, 2008, Pages 41-57

  Wyart, Matthieu ^a   Bouchaud, Jean Philippe ^a   Kockelkoren, Julien ^a   Potters, Marc ^a   Vettorazzo, Michele ^a  

^a Science and Finance   (France)

Author keywords

Bid ask spread; Impact; Liquidity; Microstructure

Indexed keywords

EID: 37249004824     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680701344515     Document Type: Article

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