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

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

    Research output: Contribution to journal › Article › peer-review

    Fingerprint

    Dive into the research topics of 'Relation between bid-ask spread, impact and volatility in order-driven markets'. Together they form a unique fingerprint.

    Keyphrases

    Economics, Econometrics and Finance