Market reaction to a bid-ask spread change: A power-law relaxation dynamics

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

Volumn 80, Issue 1, 2009, Pages

  Ponzi, Adam ^a   Lillo, Fabrizio ^a,b,c   Mantegna, Rosario N ^a,b  

^a INFM   (Italy)

^b UNIVERSITY OF PALERMO   (Italy)

^c SANTA FE INSTITUTE   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

BID-ASK SPREAD; DOUBLE AUCTION; FINANCIAL MARKET; LINEAR RELATION; MARKET REACTIONS; POWER LAW; POWER LAW DECAY; POWER LAW RELAXATION; RELAXATION DYNAMICS; TIME EFFECT;

RELAXATION PROCESSES;

LAWS AND LEGISLATION;

EID: 68949113532     PISSN: 15393755     EISSN: 15502376     Source Type: Journal    
DOI: 10.1103/PhysRevE.80.016112     Document Type: Article

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