Julien Kockelkoren
- Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets
2006/03/10 by Matthieu Wyart, Jean-Philippe Bouchaud, Jean‐Philippe Bouchaud +8 · 5 citations
Decision Sciences · Economics, Econometrics and Finance · Physics and Astronomy · #Auction Theory and Applications #Complex Systems and Time Series Analysis #Financial Markets and Investment Strategies #cond-mat.other #physics.data-an #physics.soc-ph #q-fin.TR
- The price impact of order book events: market orders, limit orders and\n cancellations
2009/04/06 by Zoltán Eisler, Eisler, Zoltan, Jean‐Philippe Bouchaud +3 · 4 citations
Decision Sciences · Economics, Econometrics and Finance · #Auction Theory and Applications #Complex Systems and Time Series Analysis #FOS: Economics and business #Financial Markets and Investment Strategies #Statistical Finance (q-fin.ST) #Trading and Market Microstructure (q-fin.TR)