Quantifying fluctuations in market liquidity: Analysis of the bid-ask spread

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 71, Issue 4, 2005, Pages

  Plerou, Vasiliki ^a   Gopikrishnan, Parameswaran ^a,b   Stanley, H Eugene ^a  

^a Boston University   (United States)

^b Goldman Sachs Group   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

AUTOCORRELATION FUNCTIONS; INFORMATION FLOW; MARKET LIQUIDITY; STOCK MARKETS;

COMMERCE; CORRELATION METHODS; FINANCE; INVENTORY CONTROL; MARKETING; RISK ASSESSMENT; SALES;

STATISTICAL MECHANICS;

EID: 41349092245     PISSN: 15393755     EISSN: 15502376     Source Type: Journal    
DOI: 10.1103/PhysRevE.71.046131     Document Type: Article

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