- Relation between bid–ask spread, impact and volatility in order-driven markets
2007/12/14 by Matthieu Wyart, Jean–Philippe Bouchaud, Julien Kockelkoren +2 · 2 citations
Business, Management and Accounting · Economics, Econometrics and Finance · #Bid price #Bid–ask spread #Complex Systems and Time Series Analysis #Corporate Finance and Governance #Econometrics #Economics #Economy #Financial Markets and Investment Strategies #Financial economics #Implied volatility #Market liquidity #Market maker #Market microstructure #Monetary economics #Order (exchange) #Order book #Price discovery #Stock market #Volatility (finance)
- Multi-agent-based Order Book Model of financial markets
2006/07/05 by Tobias Preis, Sebastian Golke, Wolfgang Paul +1 · 1 citation
Economics, Econometrics and Finance · Mathematics · #Complex Systems and Time Series Analysis #Financial Risk and Volatility Modeling #Financial Markets and Investment Strategies #Stylized fact #Order (exchange) #Econometrics #Financial market #Economics #Order book #Hurst exponent #Exchange rate #Financial economics #Monetary economics #Finance #Mathematics #Macroeconomics #Statistics