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The price impact of order book events

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https://hal.archives-ouvertes.fr/hal-00937055
Contributor : Serena Benassù <>
Submitted on : Monday, January 27, 2014 - 4:58:25 PM
Last modification on : Saturday, March 28, 2020 - 2:24:09 AM

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  • HAL Id : hal-00937055, version 1

Citation

R. Cont, A. Kukanov, S. Stoikov. The price impact of order book events. Journal of Financial Econometrics, Oxford University Press (OUP), 2014, 12 (1), pp.47-88. ⟨hal-00937055⟩

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